TY - JOUR
T1 - Pricing a Heterogeneous Portfolio Based on a Demand Function
AU - Levikson, Benny
AU - Zaks, Yaniv
AU - Frostig, Esther
PY - 2008/1/1
Y1 - 2008/1/1
N2 - Consider a portfolio containing number of risk classes. Each class has its own demand function, which determines the number of insureds in this class as a function of the premium. The insurer determines the premiums based on the number of insureds in each class. The “market” reacts by updating the number of the policyholders, then the insurer updates the premium, and so on. We show that this process has an equilibrium point, and then we characterize this point.
AB - Consider a portfolio containing number of risk classes. Each class has its own demand function, which determines the number of insureds in this class as a function of the premium. The insurer determines the premiums based on the number of insureds in each class. The “market” reacts by updating the number of the policyholders, then the insurer updates the premium, and so on. We show that this process has an equilibrium point, and then we characterize this point.
UR - http://www.scopus.com/inward/record.url?scp=77955143306&partnerID=8YFLogxK
U2 - 10.1080/10920277.2008.10597500
DO - 10.1080/10920277.2008.10597500
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AN - SCOPUS:77955143306
SN - 1092-0277
VL - 12
SP - 65
EP - 73
JO - North American Actuarial Journal
JF - North American Actuarial Journal
IS - 1
ER -