IDEAS home Printed from https://ideas.repec.org/a/eee/insuma/v51y2012i3p599-616.html
   My bibliography  Save this article

Equitable solvent controls in a multi-period game model of risk

Author

Listed:
  • Malinovskii, Vsevolod K.

Abstract

In insurance two major types of cycles are known: (a) regular many years long up- and down-swings referred to as underwriting cycles and (b) irregular short-range fluctuations. The key rationale of the underwriting cycles is migration of insureds triggered by the insurers’ price competition while the short-range fluctuations are due to unpredictable fluctuations in economic surroundings. The competition-originated cycles were modeled in the framework of a Lundberg’s-type multi-period model of risk in Malinovskii (2010, submitted for publication). Short-range fluctuations were modeled under diverse nature scenarios in the framework of (i) diffusion (see Malinovskii, 2007, 2009) and (ii) Lundberg’s-type multi-period model (see Malinovskii, 2008a). In this paper the results of Malinovskii (2009) are extended on the Lundberg’s-type multi-period model.

Suggested Citation

  • Malinovskii, Vsevolod K., 2012. "Equitable solvent controls in a multi-period game model of risk," Insurance: Mathematics and Economics, Elsevier, vol. 51(3), pages 599-616.
  • Handle: RePEc:eee:insuma:v:51:y:2012:i:3:p:599-616
    DOI: 10.1016/j.insmatheco.2012.08.001
    as

    Download full text from publisher

    File URL: http://www.sciencedirect.com/science/article/pii/S0167668712000996
    Download Restriction: Full text for ScienceDirect subscribers only

    File URL: https://libkey.io/10.1016/j.insmatheco.2012.08.001?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    References listed on IDEAS

    as
    1. Malinovskii, V. K., 2007. "Zone-Adaptive Control Strategy for a Multiperiodic Model of Risk," Annals of Actuarial Science, Cambridge University Press, vol. 2(2), pages 349-367, September.
    2. Malinovskii, Vsevolod K., 2009. "Scenario Analysis for a Multi-Period Diffusion Model of Risk," ASTIN Bulletin, Cambridge University Press, vol. 39(2), pages 649-676, November.
    3. Malinovskii, Vsevolod K., 2008. "Adaptive control strategies and dependence of finite time ruin on the premium loading," Insurance: Mathematics and Economics, Elsevier, vol. 42(1), pages 81-94, February.
    4. Malinovskii, Vsevolod K., 1998. "Non-Poissonian claims' arrivals and calculation of the probability of ruin," Insurance: Mathematics and Economics, Elsevier, vol. 22(2), pages 123-138, June.
    5. Rongming, Wang & Haifeng, Liu, 2002. "On the Ruin Probability Under a Class of Risk Processes1," ASTIN Bulletin, Cambridge University Press, vol. 32(1), pages 81-90, May.
    6. Malinovskii, Vsevolod K., 2008. "Risk theory insight into a zone-adaptive control strategy," Insurance: Mathematics and Economics, Elsevier, vol. 42(2), pages 656-667, April.
    7. Malinovskii, Vsevolod K., 2010. "Competition-Originated Cycles and Insurance Strategies," ASTIN Bulletin, Cambridge University Press, vol. 40(2), pages 797-843, November.
    8. De Vylder, F. Etienne & Goovaerts, Marc J., 1999. "Explicit finite-time and infinite-time ruin probabilities in the continuous case," Insurance: Mathematics and Economics, Elsevier, vol. 24(3), pages 155-172, May.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Malinovskii, Vsevolod K., 2014. "Improved asymptotic upper bounds on the ruin capital in the Lundberg model of risk," Insurance: Mathematics and Economics, Elsevier, vol. 55(C), pages 301-309.
    2. Malinovskii, Vsevolod K., 2013. "Level premium rates as a function of initial capital," Insurance: Mathematics and Economics, Elsevier, vol. 52(2), pages 370-380.
    3. Malinovskii, Vsevolod K., 2014. "Annual intrinsic value of a company in a competitive insurance market," Insurance: Mathematics and Economics, Elsevier, vol. 55(C), pages 310-318.
    4. Malinovskii, Vsevolod K. & Kosova, Ksenia O., 2014. "Simulation analysis of ruin capital in Sparre Andersen’s model of risk," Insurance: Mathematics and Economics, Elsevier, vol. 59(C), pages 184-193.
    5. Vsevolod Malinovskii, 2020. "Value-at-Risk substitute for non-ruin capital is fallacious and redundant," Papers 2005.05428, arXiv.org.
    6. Malinovskii, Vsevolod K., 2013. "Rationale of underwriters’ pricing conduct on competitive insurance market," Insurance: Mathematics and Economics, Elsevier, vol. 53(2), pages 325-333.

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Malinovskii, Vsevolod K., 2013. "Level premium rates as a function of initial capital," Insurance: Mathematics and Economics, Elsevier, vol. 52(2), pages 370-380.
    2. Malinovskii, Vsevolod K., 2014. "Annual intrinsic value of a company in a competitive insurance market," Insurance: Mathematics and Economics, Elsevier, vol. 55(C), pages 310-318.
    3. Malinovskii, Vsevolod K., 2014. "Improved asymptotic upper bounds on the ruin capital in the Lundberg model of risk," Insurance: Mathematics and Economics, Elsevier, vol. 55(C), pages 301-309.
    4. Malinovskii, Vsevolod K. & Kosova, Ksenia O., 2014. "Simulation analysis of ruin capital in Sparre Andersen’s model of risk," Insurance: Mathematics and Economics, Elsevier, vol. 59(C), pages 184-193.
    5. Vsevolod K. Malinovskii, 2014. "Elementary Bounds on the Ruin Capital in a Diffusion Model of Risk," Risks, MDPI, vol. 2(3), pages 1-11, July.
    6. Wu, Rong & Wang, Guojing & Zhang, Chunsheng, 2005. "On a joint distribution for the risk process with constant interest force," Insurance: Mathematics and Economics, Elsevier, vol. 36(3), pages 365-374, June.
    7. Malinovskii, Vsevolod K., 2013. "Rationale of underwriters’ pricing conduct on competitive insurance market," Insurance: Mathematics and Economics, Elsevier, vol. 53(2), pages 325-333.
    8. Wu, Rong & Wang, Guojing & Wei, Li, 2003. "Joint distributions of some actuarial random vectors containing the time of ruin," Insurance: Mathematics and Economics, Elsevier, vol. 33(1), pages 147-161, August.
    9. Irmina Czarna & Zbigniew Palmowski, 2009. "De Finetti's dividend problem and impulse control for a two-dimensional insurance risk process," Papers 0906.2100, arXiv.org, revised Feb 2011.
    10. Shi‐jie Jiang & Jeffrey Tzu‐Hao Tsai & Feiyun Xiang, 2023. "Dynamics of underwriting profits in the US market: Payout patterns and regulation effects," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 28(3), pages 3100-3118, July.
    11. Claude Lefèvre & Stéphane Loisel, 2008. "On Finite-Time Ruin Probabilities for Classical Risk Models," Post-Print hal-00168958, HAL.
    12. Willmot, Gordon E., 2007. "On the discounted penalty function in the renewal risk model with general interclaim times," Insurance: Mathematics and Economics, Elsevier, vol. 41(1), pages 17-31, July.
    13. Boonen, Tim J. & Pantelous, Athanasios A. & Wu, Renchao, 2018. "Non-cooperative dynamic games for general insurance markets," Insurance: Mathematics and Economics, Elsevier, vol. 78(C), pages 123-135.
    14. Annette Hofmann & Cristina Sattarhoff, 2023. "Underwriting Cycles in Property-Casualty Insurance: The Impact of Catastrophic Events," Risks, MDPI, vol. 11(4), pages 1-25, April.
    15. Yi Lu, 2016. "On the Evaluation of Expected Penalties at Claim Instants That Cause Ruin in the Classical Risk Model," Methodology and Computing in Applied Probability, Springer, vol. 18(1), pages 237-255, March.
    16. Andrius Grigutis & Jonas Šiaulys, 2020. "Ultimate Time Survival Probability in Three-Risk Discrete Time Risk Model," Mathematics, MDPI, vol. 8(2), pages 1-30, January.
    17. Borovkov, Konstantin A. & Dickson, David C.M., 2008. "On the ruin time distribution for a Sparre Andersen process with exponential claim sizes," Insurance: Mathematics and Economics, Elsevier, vol. 42(3), pages 1104-1108, June.
    18. Vsevolod Malinovskii, 2020. "Value-at-Risk substitute for non-ruin capital is fallacious and redundant," Papers 2005.05428, arXiv.org.
    19. Arthur Charpentier, 2010. "Reinsurance, ruin and solvency issues: some pitfalls," Working Papers hal-00463381, HAL.
    20. Malinovskii, Vsevolod K., 2015. "On rational pricing for a profit-seeking insurer in the year of hard market," Insurance: Mathematics and Economics, Elsevier, vol. 62(C), pages 107-117.

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:insuma:v:51:y:2012:i:3:p:599-616. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Catherine Liu (email available below). General contact details of provider: http://www.elsevier.com/locate/inca/505554 .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.