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Insurance Models Under Incomplete Information

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Statistics and Simulation (IWS 2015)

Part of the book series: Springer Proceedings in Mathematics & Statistics ((PROMS,volume 231))

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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.

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Author information

Authors and Affiliations

  1. Lomonosov Moscow State University, Moscow, Russia

    Ekaterina Bulinskaya & Julia Gusak

Authors
  1. Ekaterina Bulinskaya
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  2. Julia Gusak
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Corresponding author

Correspondence to Ekaterina Bulinskaya .

Editor information

Editors and Affiliations

  1. Institute of Statistics, Alpen-Adria University of Klagenfurt, Klagenfurt, Austria

    Jürgen Pilz

  2. Institute of Applied Statistics and Computing, University of Natural Resources and Life Sciences, Vienna, Austria

    Dieter Rasch

  3. St. Petersburg State University, St. Petersburg, Russia

    Viatcheslav B. Melas

  4. Institute of Applied Statistics and Computing, University of Natural Resources and Life Sciences, Vienna, Austria

    Karl Moder

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Bulinskaya, E., Gusak, J. (2018). Insurance Models Under Incomplete Information. In: Pilz, J., Rasch, D., Melas, V., Moder, K. (eds) Statistics and Simulation. IWS 2015. Springer Proceedings in Mathematics & Statistics, vol 231. Springer, Cham. https://doi.org/10.1007/978-3-319-76035-3_12

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