A dynamic pricing game for general insurance market
A dynamic pricing game for general insurance market
复制标题
一般保险市场的动态定价博弈
DOI：
10.1016/j.cam.2020.113349
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发表时间：
2021-06
影响因子：
2.4
通讯作者：
Yang Shen
中科院分区：
文献类型：
--
作者：
Danping Li;Bin Li;Yang Shen
保险合同定价在保险业务中起着至关重要的作用，它决定了预期损失所增加的风险负荷。它涵盖了不利索赔经验的损失，并产生利润。由于市场竞争是定价过程中的一个重要组成部分，本文提出了一种新的动态定价博弈模型，其中多家保险公司通过控制其保费来相互竞争以销售保险合同。与现有文献假设确定性盈余/损失不同，本文考虑随机盈余，对索赔总额采用线性布朗运动模型，即经典cram<s:1> - lundberg模型的扩散近似。假设一家保险公司的风险敞口受到市场上所有保险公司的影响。通过求解Hamilton-Jacobi-Bellman （HJB）方程组，明确地得到了以期望终端指数效用最大化为目标的保险公司的纳什均衡保费策略。均衡策略的表示形式与所谓的m矩阵有关，它出现在许多经济模型中。为了研究模型不确定性下均衡定价策略的鲁棒性，我们进一步扩展了模型，允许保险公司感知对总索赔损失的模糊性。得到了鲁棒溢价策略的封闭表达式，并对模型参数进行了比较静力分析。
Insurance contracts pricing, that is determining the risk loading added to the expected loss, plays a fundamental role in insurance business. It covers the loss from adverse claim experience and generates a profit. As market competition is a key component in the pricing exercise, this paper proposes a novel dynamic pricing game model with multiple insurers who are competing with each other to sell insurance contracts by controlling their insurance premium. Different with the existing works assuming deterministic surplus/loss, we consider stochastic surplus and adopt the linear Brownian motion model, i.e., a diffusion approximation to the classical Cramér–Lundberg model, for the aggregate claim amount. The risk exposure of an insurer is assumed to be affected by all insurers in the market. By solving a system of Hamilton–Jacobi–Bellman (HJB) equations, Nash equilibrium premium strategies are explicitly obtained for the insurers who are aiming to maximize their expected terminal exponential utilities. The representation form of the equilibrium strategies relates to the so-called M-matrix, which appears in many economic models. To investigate the robustness of equilibrium pricing strategies under model uncertainty, we further extend the model by allowing insurers to perceive ambiguity towards the aggregate claim loss. Closed-form expression for the robust premium strategies are obtained and comparative statics are carried out for model parameters.
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DOI：
10.1016/j.insmatheco.2020.05.001
发表时间：
2019-09
期刊：
Insurance: Mathematics and Economics
影响因子：
--
作者：
Michail Anthropelos;Tim J. Boonen
通讯作者：
Michail Anthropelos;Tim J. Boonen
影响因子：
8.2
作者：
Maenhout, PJ
通讯作者：
Maenhout, PJ
DOI：
10.2307/2669713
发表时间：
1998-01
期刊：
--
影响因子：
--
作者：
Stuart A. Klugman;H. Panjer;G. Willmot
通讯作者：
Stuart A. Klugman;H. Panjer;G. Willmot
影响因子：
1.7
作者：
A. Pantelous;Eudokia Passalidou
通讯作者：
A. Pantelous;Eudokia Passalidou
影响因子：
1.4
作者：
David Promislow;V. Young
通讯作者：
David Promislow;V. Young