A mathematical model of the optimal premium policy of an insurance firm with delay

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dc.contributor.authorMwale, Moses
dc.date.accessioned2019-11-02T07:13:25Z
dc.date.accessioned2020-01-07T15:55:21Z
dc.date.available2019-11-02T07:13:25Z
dc.date.available2020-01-07T15:55:21Z
dc.date.issued2013
dc.descriptionAvailable in print copyen_US
dc.description.abstractIn this work, we study the optimization problem confronted by an insurance firm whose management can control its cash-balance dynamics by adjusting the under- lying premium rate. The firm’s objective is to minimize the total deviation of its cash-balance process to some pre-set target levels by selecting an appropriate pre- mium policy. We study the problem in a general framework and make two interesting inclusions; Firstly, we introduce the aspect of time delay to the system; and we replace the stan- dard expected additive utility function with a Stochastic differential utility (SDU). We reformulate the problem and obtain a semi coupled Forward-Backward Stochas- tic Differential Equation and prove that this forward-backward system admits a unique solution. The Sufficient Maximum Principle for an optimal control of such a system is established and we conclude with a case study of three particular cases which fit into our general model. Some concluding remarks are also given.en_US
dc.identifier.citationMwale, M.(2013).A mathematical model of the optimal premium policy of an insurance firm with delay. Master dissertation, University of Dar es Salaam. Available at (http://41.86.178.3/internetserver3.1.2/search.aspx?formtype=advanced)en_US
dc.identifier.urihttp://localhost:8080/xmlui/handle/123456789/2663
dc.language.isoenen_US
dc.publisherUniversity of Dar es Salaamen_US
dc.subjectinsurance premiumen_US
dc.subjectMathematical modelsen_US
dc.titleA mathematical model of the optimal premium policy of an insurance firm with delayen_US
dc.typeThesisen_US

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