On the optimal pricing of a heterogeneous portfolio. (English) Zbl 1169.91388
Summary: We apply simple geometrical arguments to show that well-known approaches to determine the premium in insurance contracts minimize a weighted squared difference both between the individual premiums and the individual claims and between the total premiums for classes of homogeneous risks and total claims from these blocks of business.
MSC:
| 91B30 | Risk theory, insurance (MSC2010) |
| 91B28 | Finance etc. (MSC2000) |
| 91B70 | Stochastic models in economics |
| 49N90 | Applications of optimal control and differential games |
References:
| [1] | Finite-Dimensional Vector Spaces (1974) |
| [2] | DOI: 10.1017/S0515036100014446 · doi:10.1017/S0515036100014446 |
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