Saman Vahabi; Amir Teimour Payandeh Najafabadi
Abstract
In this paper, we design a pure-endowment insurance contract and obtain the optimal strategy and consumption for a policyholder with CRRA utility function. In this contract, premiums are received from the policyholder at certain times. Theinsurer undertakes to pay the premiums by a certain guarantee ...
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In this paper, we design a pure-endowment insurance contract and obtain the optimal strategy and consumption for a policyholder with CRRA utility function. In this contract, premiums are received from the policyholder at certain times. Theinsurer undertakes to pay the premiums by a certain guarantee rate, in addition, by investing in a portfolio of risky and risk free assets share invest pro ts. We used Variance Gamma process as a representative of in nite activity jump modelsand sensitivity of jump parameters in an uncertainty nancial market has been studied. Also we compared results using by two forces of mortality.
Atefeh Kanani Dizaji; Amir Teimour Payandeh Najafabadi; Mohammad Zokaei
Abstract
In this paper, we considered the long-term health insurance as a sequence of annual health insurance policies. To improve the disadvantages of long-term health insurance, we specify the optimal contract including optimal insurance premiums and optimal insurance coverage for the healthcare costs using ...
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In this paper, we considered the long-term health insurance as a sequence of annual health insurance policies. To improve the disadvantages of long-term health insurance, we specify the optimal contract including optimal insurance premiums and optimal insurance coverage for the healthcare costs using a negotiation model. We considered two case of known and unknown initial health state. The predictive model for healthcare costs was determined as a time series and state-contingent models. Since the health state changes over time, the insured tends not only to be insured against risk according to her health state, but also to be insured against reclassification of risk. The insurer also seeks a fair premium appropriate to the insured's risk. To achieve this, we determined the optimal contract based on the negotiation model, in which the negotiation parameter is calculated based on the Nash solution. The optimal premium is independent of health state so that the insured is safe against reclassification. However, the insurer coverage is state-contingent and protects the insurer from detriment. Moreover, due to the uncertainty in estimating the parameters of the prediction model, we specified the projection interval by using the bootstrap method for optimal insurance premiums in the coming years. Thus, the insured is aware of the premium intervals at the time of signing the contract with the insurer.
Fatemeh Atatalab; Amir Teimour Payandeh Najafabadi
Abstract
An important question in non life insurance research is the estimation of number of future payments and corresponding amount of them. A loss reserve is the money set aside by insurance companies to pay policyholders claims on their policies. The policyholder behavior for reporting ...
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An important question in non life insurance research is the estimation of number of future payments and corresponding amount of them. A loss reserve is the money set aside by insurance companies to pay policyholders claims on their policies. The policyholder behavior for reporting claims after its occurrence have significant effect on the costs of the insurance company. This article considers the problem of predicting the amount and number of claims that have been incurred but not reported, say IBNR. Using the delay probabilities in monthly level, calculated by the Zero Inflated Gamma Mixture distribution, it predicts IBNR's loss reserve. The model advantage in the IBNR reserve is insurers can predict the number of future claims for each future date. This enables them to change the claim reporting process. The practical applications of our findings are applied against a third party liability (TPL) insurance loss portfolio. Additional information about claim can be considered in the loss reserving model and making the prediction of amount more accurate.
