| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 1143377 | Operations Research Letters | 2006 | 7 Pages |
Abstract
The paper is devoted to finding an optimal decision rule for accepting/rejecting potential insureds when the demand for the insurance provision is a stochastic variable. A criterion to be maximized is the mean-variance utility function of the insurer. It is shown that the optimal decision rule is a stopping rule with some finite protection level.
Keywords
Related Topics
Physical Sciences and Engineering
Mathematics
Discrete Mathematics and Combinatorics
Authors
Alexey Y. Golubin,