سامانه پشتیبانی خدمات اطلاعات

  اخبار و اعلانات

 آمار

تعداد نشریات163
تعداد شماره‌ها6,774
تعداد مقالات72,983
تعداد مشاهده مقاله132,557,864
تعداد دریافت فایل اصل مقاله103,861,179
Rostamian, Maryam, Golarzi, Gholamhossein, Hamzeh, Asma, Hozarmoghadam, Nasrin. (1399). Determination of the optimal premium of non-life insurance via the Stochastic Dynamic Programming method. , 12(4), 655-671. doi: 10.22059/imj.2021.314448.1007802
Maryam Rostamian; Gholamhossein Golarzi; Asma Hamzeh; Nasrin Hozarmoghadam. "Determination of the optimal premium of non-life insurance via the Stochastic Dynamic Programming method". , 12, 4, 1399, 655-671. doi: 10.22059/imj.2021.314448.1007802
Rostamian, Maryam, Golarzi, Gholamhossein, Hamzeh, Asma, Hozarmoghadam, Nasrin. (1399). 'Determination of the optimal premium of non-life insurance via the Stochastic Dynamic Programming method', , 12(4), pp. 655-671. doi: 10.22059/imj.2021.314448.1007802
Rostamian, Maryam, Golarzi, Gholamhossein, Hamzeh, Asma, Hozarmoghadam, Nasrin. Determination of the optimal premium of non-life insurance via the Stochastic Dynamic Programming method. , 1399; 12(4): 655-671. doi: 10.22059/imj.2021.314448.1007802

Determination of the optimal premium of non-life insurance via the Stochastic Dynamic Programming method

Industrial Management Journal
دوره 12، شماره 4، 2020، صفحه 655-671    اصل مقاله (1.14 M)
نوع مقاله: Research Paper
شناسه دیجیتال (DOI): 10.22059/imj.2021.314448.1007802
نویسندگان
Maryam Rostamian* 1؛ Gholamhossein Golarzi2؛ Asma Hamzeh3؛ Nasrin Hozarmoghadam4
1Ph.D. Candidate, Department of Industrial Management, Faculty of Economics, Management and Administrative Affairs, University of Semnan, Semnan, Iran.
2Assistant Prof, Department of Business Management, Faculty of Economics, Management and Administrative Affairs, University of Semnan, Semnan, Iran.
3Assistant Prof, Department Research of Property Insurance, Insurance Institute, Tehran. Iran.
4Associate Prof., Department Research of Personal Insurance, Insurance Institute,Tehran.Iran.
چکیده
Objective: One of the most important issues facing insurance companies is the determination of fair premium. The purpose of this study is to design a mathematical model for calculating the optimal insurance premium by maximizing the total expected discounted utility of the capital, considering the demand and competition of the non-life insurance market.
Methods: In the first stage, the capital equation of the insurance company is defined which is derived from the sum of insurance income and investment income. Insurance income is measured via the difference between insurance premiums and related expenses over the year as a function of stochastic demand. Next, the Stochastic demand function is defined based on the number of insurance policies in the past year, the average premium of the market, company premium which is the control function and a linear stochastic disturbance or variables which are related to the demand function. Since the average premium of the market and disruptive are Stochastic, demand is Stochastic. Consequently, the optimal premium is calculated using the Stochastic Dynamic Programming, discrete-time framework via maximizing the total expected discounted utility of the capital.
Results: The numerical results show that the optimal premium is directly related to the average market premium, previous year's demand, break-even premium and the expected expectation of stochastic disturbance. It was also shown that the expected sign of stochastic disturbance determines the optimal premium strategies.
Conclusion: From the findings of this study, it can be concluded that insurance companies should determine the optimal non-life insurance premium in a competitive environment via using the expected value sign of stochastic disturbance, which is determined based on the demand function. The results showed that the expected value sign of positive stochastic disturbance indicates a decreasing demand and the insurance company should change the strategy of determining the optimal premium in order to expand demand.
کلیدواژه‌ها
Stochastic disturbance؛ Demand function؛ Average premium of the market
مراجع
پازوکی، نیما؛ شیرکوند، سعید؛ مهدوی کلیشمی، غدیر(1398). قیمت­گذاری محصولات بیمه­ای با استفاده از روش نسبت انحراف بالقوه از میانگین. فصلنامه تحقیقات مالی، 21(2)، 165-186.

پاینده نجف­آبادی، امیرتیمور؛ عطاطلب، فاطمه؛ رضا­زاده، رمضان (1398). مدل تعیین حق بیمه نسبی یک سیستم نرخ گذاری­شده براساس مدل پواسون آماسیده در دو نقطه، فصلنامه پژوهشنامه بیمه،34(2)،9-29.

شریفی­سلیم، علیرضا؛ مؤمنی، منصور؛ مدرس یزدی، محمد؛ راعی، رضا(1394). برنامه­ریزی تصادفی چندهدفه برای انتخاب سبد سهام. فصلنامه مدیریت صنعتی، 7(3)، 490-509.

فلاح لاجیمی، حمید­رضا؛ جعفر­نژاد، احمد؛ مهرگان، محمد­رضا؛ الفت، لعیا(1394). پیکره­بندی شبکه زنجیر تأمین یکپارچه راهبردی تصادفی. فصلنامه مدیریت صنعتی ، 7(1)، 105-477.

منطقی­پور، مهناز. (1396). تعیین نرخ­های بهینه بیمه­نامه­های غیر­عمر، رساله دکتری، دانشکده علوم پایه، دانشگاه شهید مدنی آذربایجان، تبریز.

مؤمنی، منصور؛ رضایی، نادر (1387). مدل بهره­برداری از سد ارس با استفاده از برنامه­ریزی پویا. فصلنامه مدیریت صنعتی، 1(1)، 132-152.

 

Apergies, N., & Poufinas, T (2020). The role of insurance growth in economic growth: fresh evidence from a panel of OECD countries: North American Journal of Economics and finance. 53(C).101217.
Bertsekas, D. P. (2005). Dynamic programming and suboptimal control: A survey from ADP to MPC. European Journal of Control, 11(4), 310-334.
Emms, P., & Haberman, S., 2005, Pricing general insurance using optimal control theory,        Astin Bulletin, 35(2), 427–453.
Emms, P., Haberman, S. & Savoulli, I. (2007). Optimal strategies for pricing general insurance. Insurance: Mathematics and Economics, 40(1), 15–34.
Emms, P. (2008). A stochastic demand model for optimal pricing of non-life insurance policies. Mathematical Control Theory and Finance, Springer-Verlang Berlin Heidelberg, 113–136.
Emms, P. (2011). Pricing general insurance in a reactive and competitive market. Journal of Computational and Applied Mathematics, 236(6), 1314–1332.
Falah Lagimi, H, & Jafarnezhad, A, & mehregan, M, & olfat, L. (2015). Industrial Management journal, 12(1), 82–110(in Persian).
Haugen, Kjetil kare. (2016). Stochastic Dynamic Programming. ISBN printed edition (print on demand): 978-82-15-02670-1, ISBN electronic pdf-edition: 978-82-15-02671-8.
Manteghipour, M. (2017). Determination the Optimal Rates of Non-Life Insurance. PhD Thesis. Faculty of Basic Sciences, Shahid Madani University of Azerbaijan. Tabriz (in Persian(.
Mao, H., Carson, J.M., Ostaszewski, K. M., &Wen, Z. (2013) Optimal decision on dynamic insurance price and investment portfolio of an insurer. Insurance: Mathematics and Economics 52(2013), 359–369.
Mao, H., Carson, J.M., Ostaszewski, K. M (2017) Optimal Insurance Pricing, Reinsurance, and Investment for a Jump Diffusion Risk Process under a Competitive Market.
Momeni, M, & Rezaei, N (2008). Operation model of Aras dam using dynamic planning. Industrial Management journal, 1 (1), 132-152(in Persian).
Mourdoukoutas, F., Boonen, T. & Koo, B Pantelous, A I. (2021). Pricing in a competitive stochastic insurance market. Insurance: Mathematics and Economics, 97(2021)44-56.
Pantelous, A.A. & Passalidou, E. (2013). Optimal premium pricing policy in a competitive insurance market environment. Annals of Actuarial Science, 7(2), 175–191.
Pantelous, A.A. & Passalidou, E. (2015). Optimal premium pricing strategies for competitive general insurance markets. Applied Mathematics and Computation, 259, 858–874.
Pantelous, A.A. & Passalidou, E. (2016). Optimal strategies for a Non-linear premium-reserve     model in a competitive insurance Market.Annals of Actuarial Science, 11(1), 1–19. 
Payandeh Najaf Abadi, A, & Atatalab, F, & Rezazadeh, R. (2019). Calculation of the Relative Premium based on Two-Point Inflated Poisson Model for Rate-Making System. Journal of insurance research .34(2), 9 –29 (in Persian).
Pazoki, N, & shirkavand, S, & mahdavi kalishami, G. (2019). Insurance products ratemaking and     insurance company financial solvency ratio calculation via potential deviation ratio .Financial research journal, 21(2), 165–186 (in Persian).
Sharifi Salim, A, & Momeni, M, & Modares Yazdi, M, & Rai, R. (2015). Multi-objective random scheduling for stock portfolio selection. Industrial Management journal, 7(3),489-510(in Persian).
Taylor, G.C. (1986). Underwriting strategy in a competitive insurance environment. Insurance:
        Mathematics and Economics, 5(1), 59–77.
Taylor, G.C. (1987). Expenses and underwriting strategy in competition. Insurance: Mathematics And   Economics, 6 (4), 275–287.
Werner, G., Modlin, C. (2016), Basic RateMaking, Casualty Actuarial Society.

آمار
تعداد مشاهده مقاله: 829
تعداد دریافت فایل اصل مقاله: 602





سامانه مدیریت نشریات علمی. قدرت گرفته از سیناوب