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On a Markovian Game Model for Competitive Insurance Pricing

Author

Listed:
  • Claire Mouminoux

    (Université de Strasbourg, Université de Lorraine, CNRS, BETA)

  • Christophe Dutang

    (Université Paris-Dauphine, Université PSL, CNRS, CEREMADE)

  • Stéphane Loisel

    (Univ Lyon - Université Claude Bernard Lyon 1, ISFA, Laboratoire SAF EA2429)

  • Hansjoerg Albrecher

    (Université de Lausanne and Swiss Finance Institute)

Abstract

In this paper, we extend the non-cooperative one-period game of Dutang et al. (Journal of Operational Research 231(3):702–711, 2013) to model a non-life insurance market over several periods by considering the repeated (one-period) game. Using Markov chain methodology, we derive general properties of insurer portfolio sizes given a price vector. In the case of a regulated market (identical premium), we are able to obtain convergence measures of long run market shares. We also investigate the consequences of the deviation of one player from this regulated market. Finally, we provide some insights of long-term patterns of the repeated game as well as numerical illustrations of leadership and ruin probabilities.

Suggested Citation

  • Claire Mouminoux & Christophe Dutang & Stéphane Loisel & Hansjoerg Albrecher, 2022. "On a Markovian Game Model for Competitive Insurance Pricing," Methodology and Computing in Applied Probability, Springer, vol. 24(2), pages 1061-1091, June.
    • Handle: RePEc:spr:metcap:v:24:y:2022:i:2:d:10.1007_s11009-021-09906-1
    DOI: 10.1007/s11009-021-09906-1
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    References listed on IDEAS

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