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The Choosing an Optimal Insurance Strategy for Maximizing the Expected Utility of the Insurer's Final Capital.

Student: Fakhriev Tair

Supervisor: Alexey Y. Golubin

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

Educational Programme: Applied Mathematics (Bachelor)

Final Grade: 9

Year of Graduation: 2019

The main object of research in this paper is the statistical model of insurance or, in other words, the model of individual risk. The aim of the work is the search the optimal risk sharing between the insurer and the insured, which would suit both sides of the insurance contract. In the theoretical part, this model of insurance was studied and its components were considered. In the analytical part, the algorithm for solving the problem of finding the optimal division of insurance was described and a numerical example was considered, the results obtained was illustrated in the case of an exponential distribution of payments and limitation of the insurer's liability. The outcome can be useful in the field of insurance, for example, in the optimization of insurance schemes of the choice of the division between the insured and the insurer.

Full text (added May 26, 2019)

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