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Julie Thøgersen has received the 1st prize among the speakers at workshop in Switzerland

2017.01.27 | Lars Madsen

Julie Thøgersen

Julie Thøgersen has received the 1st prize among the speakers at the workshop Perspectives on Actuarial Risk in Talks of Young Researchers held in Ascona, Switzerland January 8-13.

The prize is participation in the conference Insurance: Mathematics and Economics to be held in Vienna in July, with all expenses covered.

Her winning talk was entitled: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.