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On optimal credibility premiums in multiperiod insurance

Volume 41 / 2014

W. Antoniak, M. Kałuszka Applicationes Mathematicae 41 (2014), 33-42 MSC: 62C10, 62P05, 91B30, 97M30. DOI: 10.4064/am41-1-3

Abstract

This paper focuses on the problem of optimal arrangement of a stream of premiums in a multiperiod credibility model. On the basis of a given claim history (screening) and some individual information unknown to the insurance company (signaling), we derive the optimal streams in the case when the coverage period is not necessarily fixed, e.g., because of lapses, renewals, deaths, total losses, etc.

Authors

  • W. AntoniakWarsaw School of Economics
    Collegium of Economic Analysis
    Aleja Niepodległości 162
    Warszawa, Poland
    e-mail
  • M. KałuszkaInstitute of Mathematics
    Technical University of Łódź
    Wólczańska 215
    90-005 Łódź, Poland
    e-mail

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