Premium Forecasting of an Insurance Company: Automobile Insurance

2002/11/24 by M. Ebrahim Fouladvand, Fouladvand, M. Ebrahim, Amir H. Darooneh +1
Economics, Econometrics and Finance · Physics and Astronomy · #FOS: Economics and business #FOS: Physical sciences #Pricing of Securities (q-fin.PR) #Statistical Mechanics (cond-mat.stat-mech) #cond-mat.stat-mech #q-fin.PR

paper · pdf · doi:10.48550/arxiv.cond-mat/0211534

Revtex, six pages including 5 figures

arxiv created 2002/11/24 · arxiv updated 2009/11/30

Abstract

We present an analytical study of an insurance company. We model the company's performance on a statistical basis and evaluate the predicted annual income of the company in terms of insurance parameters namely the premium, total number of the insured, average loss claims etc. We restrict ourselves to a single insurance class the so-called automobile insurance. We show the existence a crossover premium p_c below which the company is loss-making. Above p_c, we also give detailed statistical analysis of the company's financial status and obtain the predicted profit along with the corresponding risk as well as ruin probability in terms of premium. Furthermore we obtain the optimal premium p_opt which maximizes the company's profit.

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