| Article ID: | iaor20062855 |
| Country: | Netherlands |
| Volume: | 34 |
| Issue: | 3 |
| Start Page Number: | 316 |
| End Page Number: | 322 |
| Publication Date: | May 2006 |
| Journal: | Operations Research Letters |
| Authors: | Golubin Alexey Y. |
| Keywords: | financial |
The paper is devoted to finding an optimal decision rule for accepting/rejecting potential insureds when the demand for the insurance provision is a stochastic variable. A criterion to be maximized is the mean–variance utility function of the insurer. It is shown that the optimal decision rule is a stopping rule with some finite protection level.