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Annual intrinsic value of a company in a competitive insurance market

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  • Malinovskii, Vsevolod K.

Abstract

In this paper we analyze a measure of the insurance company’s value in an extended Lundberg model which includes the effect of competition on pricing. The extended model is designed to be an integral part of a multi-year controlled risk model of a company operating on both competitive insurance and financial markets, when insureds migrate in seeking for better rates and investors migrate in seeking for higher return on investments.

Suggested Citation

  • 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.
    • Handle: RePEc:eee:insuma:v:55:y:2014:i:c:p:310-318
    DOI: 10.1016/j.insmatheco.2013.12.005
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    References listed on IDEAS

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    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, 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.
    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., 2013. "Rationale of underwriters’ pricing conduct on competitive insurance market," Insurance: Mathematics and Economics, Elsevier, vol. 53(2), pages 325-333.
    5. Malinovskii, Vsevolod K., 2013. "Level premium rates as a function of initial capital," Insurance: Mathematics and Economics, Elsevier, vol. 52(2), pages 370-380.
    6. Malinovskii, Vsevolod K., 2010. "Competition-Originated Cycles and Insurance Strategies," ASTIN Bulletin, Cambridge University Press, vol. 40(2), pages 797-843, November.
    7. 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.
    8. 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.
    9. 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.
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    Cited by:

    1. Carol Thiago Costa & Wesley Vieirada Silva & Lauro Britode Almeida & Claudimar Pereirada Veiga, 2017. "Empirical evidence of the existence of speculative bubbles in the prices of stocks traded on the São Paulo Stock Exchange," Contaduría y Administración, Accounting and Management, vol. 62(4), pages 1317-1334, Octubre-D.
    2. Malinovskii, Vsevolod K., 2015. "Business planning for a profit-seeking insurer under deficiency of information," Insurance: Mathematics and Economics, Elsevier, vol. 62(C), pages 215-226.
    3. 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.
    4. 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.

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