Optimal Risk Shaving in Models with a Premium Defined by the Variance Principle

Student: Kotochigov Nikita

Faculty: HSE Tikhonov Moscow Institute of Electronics and Mathematics (MIEM HSE)

Educational Programme: Applied Mathematics (Bachelor)

Final Grade: 7

Year of Graduation: 2016

The object of research in this work is the statistical model of insurance or, in the other words, model of individual risk. The purpose of this work is to find the optimum risk sharing between participants of the deal, which would be favorable to both sides. In theoretical part of this work was considered model of risk sharing, also criteria of an optimum risk sharing have been shown. In analytical part the algorithm of finding the optimum risk sharing has been described and a numerical example is reviewed. It has been found out that an optimum type of insurance for this case is insurance with the upper limit (differently stop-loss insurance). Results can be useful during the work in the insurance area.

Full text (added May 28, 2016)

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