Pricing a Heterogeneous Portfolio Based on a Demand Function

Benny Levikson; Yaniv Zaks; Esther Frostig

doi:10.1080/10920277.2008.10597500

Pricing a Heterogeneous Portfolio Based on a Demand Function

Benny Levikson, Yaniv Zaks, Esther Frostig

Department of Statistics

Research output: Contribution to journal › Article › peer-review

Abstract

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 language	English
Pages (from-to)	65-73
Number of pages	9
Journal	North American Actuarial Journal
Volume	12
Issue number	1
DOIs	https://doi.org/10.1080/10920277.2008.10597500
State	Published - 1 Jan 2008

ASJC Scopus subject areas

Statistics and Probability
Economics and Econometrics
Statistics, Probability and Uncertainty

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10.1080/10920277.2008.10597500

Cite this

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Pricing a Heterogeneous Portfolio Based on a Demand Function

Abstract

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