Price Optimisation for New Business

16 Pages Posted: 22 Nov 2017

See all articles by Maissa Tamraz

Maissa Tamraz

Universite de Lausanne; Nankai University

Yaming Yang

Independent

Date Written: November 20, 2017

Abstract

This contribution is concerned with price optimisation of the new business for a non-life product. Due to high competition in the insurance market, non-life insurers are interested in increasing their conversion rates on new business based on some profit level. In this respect, we consider the competition in the market to model the probability of accepting an offer for a specific customer. We study two optimisation problems relevant for the insurer and present some algorithmic solutions for both continuous and discrete case. Finally, we provide some applications to a motor insurance dataset.

Keywords: market tariff, optimal tariff, optimal price, price elasticity, non-life insurance, competitors, non-convex optimisation, genetic algorithm, sequential quadratic programming, constraints, new business

JEL Classification: G13, G22

Suggested Citation

Tamraz, Maissa and Yang, Yaming, Price Optimisation for New Business (November 20, 2017). Available at SSRN: https://ssrn.com/abstract=3074317 or http://dx.doi.org/10.2139/ssrn.3074317

Maissa Tamraz (Contact Author)

Universite de Lausanne ( email )

Quartier Chambronne
Lausanne, 1015
Switzerland

Nankai University

94 Weijin Road
Tianjin, 300071
China

Yaming Yang

Independent ( email )

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