Simultaneous Exact Controllability of Mean and Variance of an Insurance Policy

Autor: Rajeev Rajaram, Nathan Ritchey
Jazyk: angličtina
Rok vydání: 2023
Předmět:
Zdroj: Mathematics, Vol 11, Iss 15, p 3296 (2023)
Druh dokumentu: article
ISSN: 11153296
2227-7390
DOI: 10.3390/math11153296
Popis: We explore the simultaneous exact controllability of mean and variance of an insurance policy by utilizing the benefit St and premium Pt as control inputs to manage the policy value tV and the variance 2σt of future losses. The goal is to determine whether there exist control inputs that can steer the mean and variance from a prescribed initial state at t=0 to a prescribed final state at t=T, where the initial–terminal pair of states (0V,TV) and (2σ0,2σT) represent the mean and variance of future losses at times t=0 and t=T, respectively. The mean tV and variance 2σt are governed by Thiele’s and Hattendorff’s differential equations in continuous time and recursive equations in discrete time. Our study focuses on solving the problem of exact controllability in both continuous and discrete time. We show that our result can be used to devise control inputs St,Pt in the interval [0,T] so that the mean and variance partially track a specified curve tV=a(t) and 2σt=b(t), respectively, i.e., at a fine sampling of points in the time interval [0,T].
Databáze: Directory of Open Access Journals
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