File Download

There are no files associated with this item.

  Links for fulltext
     (May Require Subscription)
Supplementary

Article: Non-cooperative dynamic games for general insurance markets

TitleNon-cooperative dynamic games for general insurance markets
Authors
KeywordsFinite-time differential game
Insurance market competition
Open-loop Nash equilibrium
Premium cycles
Solvency ratio
Issue Date2018
Citation
Insurance: Mathematics and Economics, 2018, v. 78, p. 123-135 How to Cite?
AbstractIn the insurance industry, the number of product-specific policies from different companies has increased significantly. The strong market competition has boosted the demand for a competitive premium. In actuarial science, scant literature still exists on how competition actually affects the calculation and the cycles of company's premiums. In this paper, we model premium dynamics via differential games, and study the insurers’ equilibrium premium dynamics in a competitive market. We apply an optimal control theory methodology to determine the open-loop Nash equilibrium premium strategies. The market power of each insurance company is characterized by a price sensitive parameter, and the business volume is affected by the solvency ratio. We study two models. Considering the average market premiums, the first model studies an exponential relation between premium strategies and volume of business. The second model initially characterizes the competition between any selected pair of insurers, and then aggregates all the paired competitions in the market. Numerical examples illustrate the premium dynamics, and show that premium cycles may exist in equilibrium.
Persistent Identifierhttp://hdl.handle.net/10722/328748
ISSN
2023 Impact Factor: 1.9
2023 SCImago Journal Rankings: 1.113
ISI Accession Number ID

 

DC FieldValueLanguage
dc.contributor.authorBoonen, Tim J.-
dc.contributor.authorPantelous, Athanasios A.-
dc.contributor.authorWu, Renchao-
dc.date.accessioned2023-07-22T06:23:36Z-
dc.date.available2023-07-22T06:23:36Z-
dc.date.issued2018-
dc.identifier.citationInsurance: Mathematics and Economics, 2018, v. 78, p. 123-135-
dc.identifier.issn0167-6687-
dc.identifier.urihttp://hdl.handle.net/10722/328748-
dc.description.abstractIn the insurance industry, the number of product-specific policies from different companies has increased significantly. The strong market competition has boosted the demand for a competitive premium. In actuarial science, scant literature still exists on how competition actually affects the calculation and the cycles of company's premiums. In this paper, we model premium dynamics via differential games, and study the insurers’ equilibrium premium dynamics in a competitive market. We apply an optimal control theory methodology to determine the open-loop Nash equilibrium premium strategies. The market power of each insurance company is characterized by a price sensitive parameter, and the business volume is affected by the solvency ratio. We study two models. Considering the average market premiums, the first model studies an exponential relation between premium strategies and volume of business. The second model initially characterizes the competition between any selected pair of insurers, and then aggregates all the paired competitions in the market. Numerical examples illustrate the premium dynamics, and show that premium cycles may exist in equilibrium.-
dc.languageeng-
dc.relation.ispartofInsurance: Mathematics and Economics-
dc.subjectFinite-time differential game-
dc.subjectInsurance market competition-
dc.subjectOpen-loop Nash equilibrium-
dc.subjectPremium cycles-
dc.subjectSolvency ratio-
dc.titleNon-cooperative dynamic games for general insurance markets-
dc.typeArticle-
dc.description.naturelink_to_subscribed_fulltext-
dc.identifier.doi10.1016/j.insmatheco.2017.12.001-
dc.identifier.scopuseid_2-s2.0-85040545525-
dc.identifier.volume78-
dc.identifier.spage123-
dc.identifier.epage135-
dc.identifier.isiWOS:000426222700011-

Export via OAI-PMH Interface in XML Formats


OR


Export to Other Non-XML Formats