Setting optimal limit of cover by stochastic optimisation
The result's identifiers
Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F61989100%3A27510%2F17%3A10237172" target="_blank" >RIV/61989100:27510/17:10237172 - isvavai.cz</a>
Result on the web
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DOI - Digital Object Identifier
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Alternative languages
Result language
čeština
Original language name
Setting optimal limit of cover by stochastic optimisation
Original language description
The paper is focused on the setting of the optimal limit of cover for the stop-loss insurance. We respect that the loss, or severity respectively, is a random variable which follows an exponential probability distribution. Firstly, we derive the general analytical objective function which can be extended and applied also to other cases, e.g. setting optimal deductibles, coinsurance and others. Further, we derive also the general analytical objective function under the assumption that the loss follows the exponential distribution. In addition, we show that solving the problem using sampling average approximation involving Monte Carlo simulation provides similar results and that the optimisation problem can be solved also by such simplifying method.
Czech name
Setting optimal limit of cover by stochastic optimisation
Czech description
The paper is focused on the setting of the optimal limit of cover for the stop-loss insurance. We respect that the loss, or severity respectively, is a random variable which follows an exponential probability distribution. Firstly, we derive the general analytical objective function which can be extended and applied also to other cases, e.g. setting optimal deductibles, coinsurance and others. Further, we derive also the general analytical objective function under the assumption that the loss follows the exponential distribution. In addition, we show that solving the problem using sampling average approximation involving Monte Carlo simulation provides similar results and that the optimisation problem can be solved also by such simplifying method.
Classification
Type
D - Article in proceedings
CEP classification
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OECD FORD branch
50202 - Applied Economics, Econometrics
Result continuities
Project
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Continuities
S - Specificky vyzkum na vysokych skolach
Others
Publication year
2017
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů
Data specific for result type
Article name in the collection
Financial Management of Firms and Financial Institutions : 11th international scientific conference : 6th - 7th September 2017, Ostrava, Czech Republic : proceedings.
ISBN
978-80-248-4138-0
ISSN
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e-ISSN
2336-162X
Number of pages
6
Pages from-to
901-906
Publisher name
VŠB - Technická univerzita Ostrava
Place of publication
Ostrava
Event location
Ostrava
Event date
Sep 6, 2017
Type of event by nationality
EUR - Evropská akce
UT code for WoS article
000508278200110