Colloque / Séminaire

The traditional control parameters in determining the strategy of an insurance company are dividends and reinsurance arrangements. Premiums are obviously of equal practical importance, but theoretical studies are more rare. We use here the traditional Bayesian view of the risk parameters of the insured (say the Poisson rate of generating car accidents) to be randomly fluctuating in the portfolio. This allows to quantify the influence of the premium level on the portfolio size and thereby approach control problems such as minimizing the ruin probability. Game theoretic perspectives via differential games in a competitive market are studied, as well as the influence of credibility-based premium rules on the ruin probability.

The talk is based on a series of papers written jointly with Bent Jesper Christensen,
Michael Taksar, Julie Thøgersen and Corina Constatinescu.