| EPSRC Reference: |
GR/S23056/01 |
| Title: |
Optimal Premium Pricing of Non-Life Insurance |
| Principal Investigator: |
Haberman, Professor S |
| Other Investigators: |
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| Researcher Co-Investigators: |
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| Project Partners: |
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| Department: |
Actuarial Science and Insurance |
| Organisation: |
City, University of London |
| Scheme: |
Standard Research (Pre-FEC) |
| Starts: |
07 October 2003 |
Ends: |
06 January 2006 |
Value (£): |
133,928
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| EPSRC Research Topic Classifications: |
| Mathematical Analysis |
Mathematical Aspects of OR |
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Summary on Grant Application Form |
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An important and unsolved problem in actuarial science is how to determine an insurance premium for a company that is operating in a dynamic and competitive market. It is proposed in this research to apply operational research techniques, in particular dynamic programming and control theory, to the modelling of the dynamics of competitive insurance markets and to the construction of optimal pricing strategies. This will be a novel application of these methodologies, given the existing literature. The area of application is personal lines non-life insurance, which is highly competitive in character. Models of customer behaviour and market dynamics will be combined with those of a company's own costings and objectives. Each element of the research programme will involve review of the literature, both in actuarial science and operational research, original research and discussion with and feedback from industrial partners. The aims of the project are to improve understanding of the dynamics of the non-life insurance market; to evaluate the applicability of the Operational Research methodologies to actuarial problems; and to recommend possible strategies for optimal premium setting in the insurance market. This research is supported by a consortium of four industrial partners.
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Key Findings |
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This information can now be found on Gateway to Research (GtR) http://gtr.rcuk.ac.uk
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Potential use in non-academic contexts |
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This information can now be found on Gateway to Research (GtR) http://gtr.rcuk.ac.uk
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Impacts |
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| Description |
This information can now be found on Gateway to Research (GtR) http://gtr.rcuk.ac.uk |
| Summary |
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| Date Materialised |
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Sectors submitted by the Researcher |
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This information can now be found on Gateway to Research (GtR) http://gtr.rcuk.ac.uk
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| Project URL: |
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| Further Information: |
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| Organisation Website: |
http://www.city.ac.uk |