Optimal Time to Change Premiums
| dc.creator | Bayraktar, Erhan | |
| dc.creator | Poor, H. Vincent | |
| dc.date | 2007-03-28 | |
| dc.date.accessioned | 2026-07-07T12:11:23Z | |
| dc.date.available | 2026-07-07T12:11:23Z | |
| dc.description | The claim arrival process to an insurance company is modeled by a compound Poisson process whose intensity and/or jump size distribution changes at an unobservable time with a known distribution. It is in the insurance company's interest to detect the change time as soon as possible in order to re-evaluate a new fair value for premiums to keep its profit level the same. This is equivalent to a problem in which the intensity and the jump size change at the same time but the intensity changes to a random variable with a know distribution. This problem becomes an optimal stopping problem for a Markovian sufficient statistic. Here, a special case of this problem is solved, in which the rate of the arrivals moves up to one of two possible values, and the Markovian sufficient statistic is two-dimensional. | |
| dc.identifier | https://arxiv.org/abs/math/0703828 | |
| dc.identifier | http://arxiv.org/abs/math/0703828 | |
| dc.identifier.uri | http://salesiana.dossiersoluciones.com/handle/123456789/210206 | |
| dc.subject | Optimization and Control | |
| dc.subject | Probability | |
| dc.subject | Computational Finance | |
| dc.subject | 62L10, 62L15, 62C10, 60G40 | |
| dc.title | Optimal Time to Change Premiums | |
| dc.type | text |