DocumentCode
3023468
Title
An Application of Stochastic Control Theory in Premium Policy of an Insurance Firm
Author
Meng Xiangbo
Author_Institution
Coll. of Sci., Tianjin Univ. of Sci. & Technol., Tianjin, China
fYear
2013
fDate
29-30 June 2013
Firstpage
139
Lastpage
142
Abstract
In this paper, we study the optimization problem with stochastic interest rates faced by an insurance firm who can control its cash-balance dynamics by adjusting the underlying premium rates. Our objective is to minimize the total deviation of the cash-balance process in an insurance firm to some pre-set target levels by selecting an appropriate premium policy.
Keywords
economic indicators; insurance; minimisation; stochastic programming; cash-balance dynamics; insurance firm premium policy; minimization; optimization problem; stochastic control theory; stochastic interest rates; Automation; Manufacturing; Hamilton-Jacobi-Bellman (HJB) equation; cash-balance process; cost functional; forward-backward stochastic differential equation (FBSDE);
fLanguage
English
Publisher
ieee
Conference_Titel
Digital Manufacturing and Automation (ICDMA), 2013 Fourth International Conference on
Conference_Location
Qingdao
Type
conf
DOI
10.1109/ICDMA.2013.33
Filename
6597952
Link To Document