| Consider a portfolio containing heterogeneous risks. when the insurance company price premium, they should consider themselves risks. On the other hand, the premium that the insureds pay has to be fair.this fairness is measured by the distance between the risk and the premium paid.In this paper we apply a non-linear programming formulation to consider the negative and positive part between the risk and the premium,discuss the optimal premium for each class so that the risk is below a given level and the negative part's function is minimized, as well as the positive part's function is maximized. |
PDF Full Text Request