Optimal arrangement of a stream of insurance premiums for a multiperiod insurance policy is considered. In order to satisfy solvency requirements we assume that a weak Axiom of Solvency is satisfied. Then two optimization problems are solved: finding a stream of net premiums that approximates optimally 1) future claims, or 2) "anticipating premiums". It is shown that the resulting optimal streams of premiums enable differentiating between policyholders much more quickly than one-period credibility premiums.
@article{bwmeta1.element.bwnjournal-article-doi-10_4064-am34-2-7,
author = {L. Gajek and P. Mi\'s and J. S\l owi\'nska},
title = {Optimal streams of premiums in multiperiod credibility models},
journal = {Applicationes Mathematicae},
volume = {34},
year = {2007},
pages = {223-235},
zbl = {1116.62113},
language = {en},
url = {http://dml.mathdoc.fr/item/bwmeta1.element.bwnjournal-article-doi-10_4064-am34-2-7}
}
L. Gajek; P. Miś; J. Słowińska. Optimal streams of premiums in multiperiod credibility models. Applicationes Mathematicae, Tome 34 (2007) pp. 223-235. http://gdmltest.u-ga.fr/item/bwmeta1.element.bwnjournal-article-doi-10_4064-am34-2-7/