This article is cited in 1 paper

Optimization, System Analysis, and Operations Research

Optimal insurance strategy in the individual risk model under a stochastic constraint on the value of the final capital

A. Yu. Golubin^ab, V. N. Gridin<sup>b

a</sup> National Research University "Higher School of Economics", Moscow
^b Center of Information Technologies in Design, Russian Academy of Sciences, Odintsovo, Moscow region

Abstract: The article is devoted to solving a problem of the choice of an optimal insurance policy in a static model with the goal functional of Markowitz type. Constraint on an upper value of insurer's risk and a value at risk constraint are imposed. A normal distribution is used for modeling the distribution of summary insurer's risk. The optimal insurance policy turrns out to be a stop loss insurance. Conditions of the refuse of the insurance deal are found in an explicit form. An example illustrating the theoretical results in the case of an exponential distribution of claim size is given.

Keywords: Optimal insurance, probabilistic constraint, Markowitz utility functional.

Presented by the member of Editorial Board: A. I. Kibzun

Received: 15.04.2018
Revised: 06.10.2018
Accepted: 08.11.2018

DOI: 10.1134/S0005231019040081

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