Threshold control of mutual insurance with limited commitment

Jia Yan; John J. Liu; Kevin X. Li

doi:10.1016/j.insmatheco.2008.03.011

Threshold control of mutual insurance with limited commitment

Jia Yan
, John J. Liu
, Kevin X. Li

Research output: Journal Publications and Reviews › RGC 21 - Publication in refereed journal › peer-review

8 Citations (Scopus)

Abstract

We study the optimal premium policy of mutual insurance when the charged premium cannot be higher than a preset rate. We provide a complete solution to the problem and use numerical simulations to illustrate how the optimal premium policy responds to changes of outside factors. The results are useful for mutual insurance firms to design premium policies and can be used to test the behavior of these firms in empirical studies. © 2008 Elsevier B.V. All rights reserved.

Original language	English
Pages (from-to)	108-115
Journal	Insurance: Mathematics and Economics
Volume	43
Issue number	1
DOIs	https://doi.org/10.1016/j.insmatheco.2008.03.011
Publication status	Published - Aug 2008
Externally published	Yes

Research Keywords

Diffusion process
Limited commitment
Mutual insurance
Stochastic programming
Threshold control

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10.1016/j.insmatheco.2008.03.011

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title = "Threshold control of mutual insurance with limited commitment",

abstract = "We study the optimal premium policy of mutual insurance when the charged premium cannot be higher than a preset rate. We provide a complete solution to the problem and use numerical simulations to illustrate how the optimal premium policy responds to changes of outside factors. The results are useful for mutual insurance firms to design premium policies and can be used to test the behavior of these firms in empirical studies. {\textcopyright} 2008 Elsevier B.V. All rights reserved.",

keywords = "Diffusion process, Limited commitment, Mutual insurance, Stochastic programming, Threshold control",

author = "Jia Yan and Liu, \{John J.\} and Li, \{Kevin X.\}",

year = "2008",

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doi = "10.1016/j.insmatheco.2008.03.011",

language = "English",

volume = "43",

pages = "108--115",

journal = "Insurance: Mathematics and Economics",

issn = "0167-6687",

publisher = "Elsevier B.V.",

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TY - JOUR

T1 - Threshold control of mutual insurance with limited commitment

AU - Yan, Jia

AU - Liu, John J.

AU - Li, Kevin X.

PY - 2008/8

Y1 - 2008/8

N2 - We study the optimal premium policy of mutual insurance when the charged premium cannot be higher than a preset rate. We provide a complete solution to the problem and use numerical simulations to illustrate how the optimal premium policy responds to changes of outside factors. The results are useful for mutual insurance firms to design premium policies and can be used to test the behavior of these firms in empirical studies. © 2008 Elsevier B.V. All rights reserved.

AB - We study the optimal premium policy of mutual insurance when the charged premium cannot be higher than a preset rate. We provide a complete solution to the problem and use numerical simulations to illustrate how the optimal premium policy responds to changes of outside factors. The results are useful for mutual insurance firms to design premium policies and can be used to test the behavior of these firms in empirical studies. © 2008 Elsevier B.V. All rights reserved.

KW - Diffusion process

KW - Limited commitment

KW - Mutual insurance

KW - Stochastic programming

KW - Threshold control

UR - https://www.scopus.com/pages/publications/47249103323

UR - https://www.scopus.com/record/pubmetrics.uri?eid=2-s2.0-47249103323&origin=recordpage

U2 - 10.1016/j.insmatheco.2008.03.011

DO - 10.1016/j.insmatheco.2008.03.011

M3 - RGC 21 - Publication in refereed journal

SN - 0167-6687

VL - 43

SP - 108

EP - 115

JO - Insurance: Mathematics and Economics

JF - Insurance: Mathematics and Economics

IS - 1

ER -

Threshold control of mutual insurance with limited commitment

Abstract

Research Keywords

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