Stratégie optimale de réduction de l'intervalle de confiance pour l'estimateur de la prime ajustée. Application en assurance automobile
Résumé
The estimator of the adjusted premium developed by Necir and Boukhetala (2004) is considered. The problem of reducing the variance of this estimator is formulated as an optimization program with nonlinear stochastic constraints. An hybrid genetic algorithm is used for finding global optimal solutions, statistically explicable. An application to automobile insurance is developed.
Domaines
Gestion des risques [q-fin.RM]
Origine : Fichiers produits par l'(les) auteur(s)
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