Optimizing Claims Fluctuation Reserves
Many group insurance programs are characterized by experience rating features which imply that a surplus resulting from favorable experience belongs to the group, while the administering insurance company is to be reimbursed for a deficit resulting from unfavorable experience. Due to the volatile nature of claims, a claims fluctuation reserve is frequently established in order to reduce frequent rebates or premium adjustments resulting from surplus or deficit positions. A model is presented for resolving the rebate question and determining the design parameters of a claims fluctuation reserve. The model is formulated for non-stationary conditions and uses the first passage time concept as part of a chance constraint criterion. Results of an actual application are reported.
Year of publication: |
1977
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Authors: | Lanzenauer, Christoph Haehling von ; Wright, Don D. |
Published in: |
Management Science. - Institute for Operations Research and the Management Sciences - INFORMS, ISSN 0025-1909. - Vol. 23.1977, 11, p. 1199-1207
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Publisher: |
Institute for Operations Research and the Management Sciences - INFORMS |
Saved in:
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