Stratégie optimale de réduction de l'intervalle de confiance pour l'estimateur de la prime ajustée. Application en assurance automobile

Kmar Fersi (), Kamel Boukhetala () and Samir Ben Ammou
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Kmar Fersi: Computational Mathematics Laboratory [Monastir] - FSM - Faculté des Sciences de Monastir - UM - Université de Monastir - University of Monastir
Kamel Boukhetala: Faculté des Mathématiques - USTHB - Université des Sciences et de la Technologie Houari Boumediene = University of Sciences and Technology Houari Boumediene [Alger]
Samir Ben Ammou: Computational Mathematics Laboratory [Monastir] - FSM - Faculté des Sciences de Monastir - UM - Université de Monastir - University of Monastir

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Abstract: The estimator of the adjusted premium developed by Necir and Boukhetala (2004) is considered. The problem of reducing the variance of this estimator is formulated as an optimization program with nonlinear stochastic constraints. An hybrid genetic algorithm is used for finding global optimal solutions, statistically explicable. An application to automobile insurance is developed.

Date: 2011-09-22
New Economics Papers: this item is included in nep-cmp and nep-ias
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Published in 2011

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