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Article type: Research Article
Authors: Qu, Shaojian | Jiang, Shan; * | Feng, Can
Affiliations: School of Management Science and Engineering, Nanjing University of Information Science and Technology, Nanjing, China
Correspondence: [*] Corresponding author. Shan Jiang, School of Management Science and Engineering, Nanjing University of Information Science and Technology, Nanjing 210044, China. Tel.: +86 133 1024 4682; E-mail: [email protected].
Abstract: The principle of maximum utility is generally adopted to design the optimal insurance contracts, which should consider the influence of different factors such as the probability of accident, premium, compensation, and so on. However, most literatures deal with these variables from a static perspective. This paper considers the accident probability and the value of insurance subject based on the time of accident, which is rarely involved in the previous studies and considers the utility function of the insurer and the policyholder from a dynamic perspective. Firstly, to make this model more universally applicable, we establish an insurance model that considers the time of the accident and different premium payment forms for policy-holders and insurers respectively. Next, we derive a robust premium insurance model based on min-max regret, in which the time of the accident can be assumed to be certain and uncertain respectively. Then, we conduct numerical experiments and analyze the utility of the policy-holders, demonstrating guarantee period and value of insurance subject are significant when insuring and derive the optimal coverage rate. These results also show that the insurance model that takes into account the time of accident performs better.
Keywords: Time of accident, premium payment, value of insurance subject, min-max regret
DOI: 10.3233/JIFS-212391
Journal: Journal of Intelligent & Fuzzy Systems, vol. 43, no. 5, pp. 5515-5534, 2022
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