Scholars publish research paper on risk adequacy and anti-discrimination in insurance pricing
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Wiebke Hansen, Stefan Weber, and Mario Wüthrich published an insurance pricing research paper proposing a rate design framework that balances risk adequacy and anti-discrimination requirements. This framework constructs rates through classification, benchmark risk price aggregation, and balance transfer, characterizes the trade-offs between risk adequacy, portfolio coverage, and anti-discrimination requirements through multi-objective optimization, and proves six mathematical conclusions describing the relationships between the criteria. The study validates the framework's results through numerical research on automobile insurance.
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- arXiv q-finRisk Adequacy and Anti-Discrimination in Insurance Pricing: Classification, Aggregation, and Transfers
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.
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