Related papers: Price Optimisation for New Business
We consider the insurance company as a physical system which is immersed in its environment (the financial market). The insurer company interacts with the market by exchanging the money through the payments for loss claims and receiving the…
A monopolist offers personalized prices to consumers with unit demand, heterogeneous values, and idiosyncratic costs, who differ in a protected characteristic, such as race or gender. The seller is subject to a non-discrimination…
Pricing decisions of companies require an understanding of the causal effect of a price change on the demand. When real-life pricing experiments are infeasible, data-driven decision-making must be based on alternative data sources such as…
Motivated by the prevalence of prediction problems in the economy, we study markets in which firms sell models to a consumer to help improve their prediction. Firms decide whether to enter, choose models to train on their data, and set…
We consider a robust version of the revenue maximization problem, where a single seller wishes to sell $n$ items to a single unit-demand buyer. In this robust version, the seller knows the buyer's marginal value distribution for each item…
We investigate the optimal investment-reinsurance problem for insurance company with partial information on the market price of the risk. Through the use of filtering techniques we convert the original optimization problem involving…
We study the costs and benefits of selling data to a competitor. Although selling all consumers' data may decrease total firm profits, there exist other selling mechanisms -- in which only some consumers' data is sold -- that render both…
In order to determine a suitable automobile insurance policy premium one needs to take into account three factors, the risk associated with the drivers and cars on the policy, the operational costs associated with management of the policy…
As insurers increasingly behave like financial intermediaries and actively participate in capital markets, understanding the dependence structure between insurance and financial risks becomes crucial for insurers' operations. This paper…
We consider a revenue maximization model, in which a company aims at designing a menu of contracts, given a population of customers. A standard approach consists in constructing an incentive-compatible continuum of contracts, i.e., a menu…
We analyze the potential of reinsurance for reversing the current trend of decreasing capital guarantees in life insurance products. Providing an insurer with an opportunity to shift part of the financial risk to a reinsurer, we solve the…
Since the beginning of their history, insurers have been known to use data to classify and price risks. As such, they were confronted early on with the problem of fairness and discrimination associated with data. This issue is becoming…
In this paper, we solve the multiple product price optimization problem under interval uncertainties of the price sensitivity parameters in the demand function. The objective of the price optimization problem is to maximize the overall…
Buying and selling of data online has increased substantially over the last few years. Several frameworks have already been proposed that study query pricing in theory and practice. The key guiding principle in these works is the notion of…
This project works with the risk model developed by Li et al. (2015) and quests modelling, estimating and pricing insurance for risks brought in by innovative technologies, or other emerging or latent risks. The model considers two…
Insurers are increasingly adopting more demand-based strategies to incorporate the indirect effect of premium changes on their policyholders' willingness to stay. However, since in practice both insurers' renewal premia and customers'…
Pricing decisions stand out as one of the most critical tasks a company faces, particularly in today's digital economy. As with other business decision-making problems, pricing unfolds in a highly competitive and uncertain environment.…
Very recently, we are witnessing the emergence of a number of start-ups that enables individuals to sell their private data directly to brokers and businesses. While this new paradigm may shift the balance of power between individuals and…
Autocalibration is known to be an important requirement for insurance premiums since it guarantees that premium income balances corresponding claims, on average, not only at portfolio level but also inside each group paying similar…
Optimal reinsurance when Value at Risk and expected surplus is balanced through their ratio is studied, and it is demonstrated how results for risk-adjusted surplus can be utilized. Simplifications for large portfolios are derived, and this…