Julie Thøgersen har modtaget 1. prisen blandt foredragsholderne ved workshoppen Perspectives on Actuarial Risk in Talks of Young Researchers afholdt i Ascona, Schweiz 8-13 januar.
Prisen består i deltagelse i kongressen Insurance: Mathematics and Economics der holdes i Wien i juli, med alle omkostninger betalt.
Julies vindende foredrag havde titlen: Optimal Premium as a Function of the Deductible: Customer Analysis and Portfolio Characteristics
Abstrakt: An insurance company offers an insurance contract $(p,K)$, consisting of a premium $p$ and a~deductible $K$. In this paper, we consider the problem of choosing the premium optimally as a function of the deductible. The insurance company is facing a market of $N$ customers, each characterized by their personal claim frequency, $\alpha$, and risk aversion, $\beta$. When a customer is offered an insurance contract, she/he will, based on these characteristics, choose whether or not to insure. The~decision process of the customer is analyzed in detail. Since the customer characteristics are unknown to the company, it models them as i.i.d. random variables; $A_1, \ldots, A_N$ for the claim frequencies and $B_1, \ldots, B_N$ for the risk aversions. Depending on the distributions of $A_i$ and $B_i$, expressions for the portfolio size $n(p;K) \in [0,N]$ and average claim frequency $\alpha(p;K)$ in the portfolio are obtained. Knowing these, the company can choose the premium optimally, mainly by minimizing the ruin probability.