arXiv q-fin· Wiebke Hansen, Stefan Weber, Mario W\"uthrich·· 1 days agoAI Score35
Risk Adequacy and Anti-Discrimination in Insurance Pricing: Classification, Aggregation, and Transfers
Risk Adequacy and Anti-Discrimination in Insurance Pricing: Classification, Aggregation, and Transfers
AI summary
This study proposes an insurance rate design framework that constructs rates through classification, aggregation of benchmark risk prices, and balanced transfers, using multi-objective optimization to characterize the trade-offs between risk adequacy, portfolio coverage, and anti-discrimination requirements. The study proves six mathematical results characterizing the relationships among the criteria and validates the results through a numerical study on automobile insurance.
Source:arXiv q-fin · arxiv.org