Resumen
This work uses classic stochastic dynamic programming techniques to determine the equivalence premium that each of two extraction agents of a non-renewable natural resource must pay to an insurer to cover the risk that the extraction pore explodes. We use statistical and geological methods to calibrate the time-until-failure distribution of extraction status for each agent and couple a simple approximation scheme with the actuarial standard of Bühlmann’s recommendations to charge the extracting agents a variance premium, while the insurer earns a return on its investment at risk. We test our analytical results through Monte Carlo simulations to verify that the probability of ruin does not exceed a certain predetermined level.
| Idioma original | Inglés |
|---|---|
| Número de artículo | 2242 |
| Publicación | Mathematics |
| Volumen | 10 |
| N.º | 13 |
| DOI | |
| Estado | Publicada - 1 jul 2022 |