Economics at your fingertips  

Optimal Price Setting and Insurer Capital Management in a Multiple Line Context

Mao Hong (), Carson James M. () and Ostaszewski Krzysztof M. ()
Additional contact information
Carson James M.: Shanghai Second Polytechnic University, Shanghai, China
Ostaszewski Krzysztof M.: Professor of Mathematics and Actuarial Program Director, Illinois State University, Normal, USA

Asia-Pacific Journal of Risk and Insurance, 2018, vol. 12, issue 1, 22

Abstract: We extend Kliger and Levikson’s approach for pricing insurance contracts by considering the influence of insurer capital on the price of insurance contracts. In the context of a multi-line insurer, we analyze how to arrive at the optimal price, number of policies, and capital level of the insurer. Our results differ from prior literature on capital allocation even in incomplete markets with friction in that we show that even with multiple lines of business, the insurer still only needs to hold a single amount of overall capital. Finally, our results show that the relation between the number of policies and price is important in the pricing and capital decision.

Keywords: optimal pricing; capital management; multiple lines of products; insurance demand; pricing of multi-put option (search for similar items in EconPapers)
Date: 2018
References: Add references at CitEc
Citations Track citations by RSS feed

Downloads: (external link) ... -0018.xml?format=INT (text/html)
For access to full text, subscription to the journal or payment for the individual article is required.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link:

Ordering information: This journal article can be ordered from

Access Statistics for this article

Asia-Pacific Journal of Risk and Insurance is currently edited by Michael R. Powers

More articles in Asia-Pacific Journal of Risk and Insurance from De Gruyter
Bibliographic data for series maintained by Peter Golla ().

Page updated 2018-05-05
Handle: RePEc:bpj:apjrin:v:12:y:2018:i:1:p:22:n:5