The paper presents applications of stochastic control theory in determining an insurer's optimalreinsurance and rating policy. Optimality is defined by means of such variances of such variables as underwriting results, solvency margins and premiums paid by the policyholders.

Kirjoittaja(t)  Rantala J.
Artikkelin otsikko On experience rating and optimal reinsurance
Lehti ASTIN Bulletin 1989;19, No.2:153-178
Keywordsoptimal reinsurance, control theory, Kalman filter
Kieli  englanti
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