Insurance models under incomplete information

Ekaterina Bulinskaya, Julia Gusak

Research output: Chapter in Book/Report/Conference proceedingConference contributionpeer-review

1 Citation (Scopus)

Abstract

The aim of the chapter is optimization of insurance company performance under incomplete information. To this end, we consider the periodic-review model with capital injections and reinsurance studied by the authors in their previous paper for the case of known claim distribution. We investigate the stability of the one-step and multi-step model in terms of the Kantorovich metric. These results are used for obtaining almost optimal policies based on the empirical distributions of underlying processes.

Original languageEnglish
Title of host publicationSTATISTICS AND SIMULATION, IWS 8 2015
EditorsJurgen Pilz, Viatcheslav B. Melas, Dieter Rasch, Karl Moder
PublisherSpringer New York LLC
Pages171-185
Number of pages15
Volume231
ISBN (Print)9783319760346
DOIs
Publication statusPublished - 2018
Externally publishedYes
Event8th International Workshop on Simulation, IWS 2015 - Vienna, Austria
Duration: 21 Sep 201525 Sep 2015

Publication series

NameSpringer Proceedings in Mathematics & Statistics

Conference

Conference8th International Workshop on Simulation, IWS 2015
Country/TerritoryAustria
CityVienna
Period21/09/1525/09/15

Keywords

  • Capital injections
  • Incomplete information
  • Optimization
  • Periodic-review insurance model
  • Reinsurance
  • Stability

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