Zone-Adaptive Control Strategy for a Multiperiodic Model of Risk
V. K. Malinovskii
Annals of Actuarial Science, 2007, vol. 2, issue 2, 349-367
Abstract:
This paper is intended to illustrate the adaptive control approach in insurance. A zone-adaptive control strategy harmonising the requirements of principles of solvency and equity is considered in the simplistic framework of a diffusion multiperiodic risk model. Other works by the author set similar adaptive control strategies in a more realistic Poisson-exponential multiperiodic risk model. There is much scope for further generalisations.
Date: 2007
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