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Competition among non-life insurers under solvency constraints: A game-theoretic approach

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  • Christophe Dutang

    (SAF - Laboratoire de Sciences Actuarielle et Financière - UCBL - Université Claude Bernard Lyon 1 - Université de Lyon, IRMA - Institut de Recherche Mathématique Avancée - UNISTRA - Université de Strasbourg - CNRS - Centre National de la Recherche Scientifique)

  • Hansjoerg Albrecher

    (UNIL - Université de Lausanne = University of Lausanne)

  • Stéphane Loisel

    (SAF - Laboratoire de Sciences Actuarielle et Financière - UCBL - Université Claude Bernard Lyon 1 - Université de Lyon)

Abstract

In this paper, we formulate a noncooperative game to model a non-life insurance market. The aim is to analyze the e ects of competition between insurers through di erent indicators: the market premium, the solvency level, the market share and the underwriting results. Resulting premium Nash equilibria are discussed and numerically illustrated.

Suggested Citation

  • Christophe Dutang & Hansjoerg Albrecher & Stéphane Loisel, 2013. "Competition among non-life insurers under solvency constraints: A game-theoretic approach," Post-Print hal-00746245, HAL.
    • Handle: RePEc:hal:journl:hal-00746245
    Note: View the original document on HAL open archive server: https://hal.science/hal-00746245
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    4. Mourdoukoutas, Fotios & Boonen, Tim J. & Koo, Bonsoo & Pantelous, Athanasios A., 2021. "Pricing in a competitive stochastic insurance market," Insurance: Mathematics and Economics, Elsevier, vol. 97(C), pages 44-56.
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    13. Barsotti, Flavia & Milhaud, Xavier & Salhi, Yahia, 2016. "Lapse risk in life insurance: Correlation and contagion effects among policyholders’ behaviors," Insurance: Mathematics and Economics, Elsevier, vol. 71(C), pages 317-331.
    14. José Daniel López-Barrientos & Ekaterina Viktorovna Gromova & Ekaterina Sergeevna Miroshnichenko, 2020. "Resource Exploitation in a Stochastic Horizon under Two Parametric Interpretations," Mathematics, MDPI, vol. 8(7), pages 1-29, July.
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