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Mathematical models for insurance business optimization

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Cybernetics and Systems Analysis Aims and scope

Abstract

A new approach to the problem of approximate optimization of insurance business is proposed that lies in optimizing net income (dividends) under a constraint on the probability of ruin. The probability is then replaced by its exponential upper bound. This trick allows one to eliminate a complicated probabilistic constraint and to decompose the problem according to separate lines of business. Thus, problems of optimization of tariffs, insurance, portfolios, reinsurance treaties, and operational management are approximately solved.

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Authors and Affiliations

  1. V. M. Glushkov Institute of Cybernetics, National Academy of Sciences of Ukraine, Kyiv, Ukraine

    B. V. Norkin

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  1. B. V. Norkin
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Correspondence to B. V. Norkin.

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Translated from Kibernetika i Sistemnyi Analiz, No. 1, pp. 128–145, January–February 2011.

This work is supported under grant No. GP/F27/0088 of the President of Ukraine for young scientists.

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Norkin, B.V. Mathematical models for insurance business optimization. Cybern Syst Anal 47, 117–133 (2011). https://doi.org/10.1007/s10559-011-9295-5

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  • DOI: https://doi.org/10.1007/s10559-011-9295-5

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