On the Optimal Pricing of a Heterogeneous Portfolio

Gennady I. Falin
2008 ASTIN Bulletin: The Journal of the International Actuarial Association  
We apply simple geometrical arguments to show that well-known approaches to determine the premium in insurance contract minimize a weighted squared differences both between the individual premiums and the individual claims and between the total premiums for classes of homogeneous risks and total claims from these blocks of business.
doi:10.1017/s0515036100015117 fatcat:yen5yzjj7zdjjl4hzrwqzhmb6u