Insurance Models Under Incomplete Information

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

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.

Keywords

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

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Copyright information

© Springer International Publishing AG, part of Springer Nature 2018

Authors and Affiliations

  1. 1.Lomonosov Moscow State UniversityMoscowRussia

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