Pricing a Heterogeneous Portfolio Based on a Demand Function

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Consider a portfolio containing number of risk classes. Each class has its own demand function, which determines the number of insureds in this class as a function of the premium. The insurer determines the premiums based on the number of insureds in each class. The “market” reacts by updating the number of the policyholders, then the insurer updates the premium, and so on. We show that this process has an equilibrium point, and then we characterize this point.

Original languageEnglish
Pages (from-to)65-73
Number of pages9
JournalNorth American Actuarial Journal
Issue number1
StatePublished - 1 Jan 2008

ASJC Scopus subject areas

  • Statistics and Probability
  • Economics and Econometrics
  • Statistics, Probability and Uncertainty


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