On optimal credibility premiums in multiperiod insurance
Volume 41 / 2014
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.
