Modeling Competition in a Market for Natural Catastrophe Insurance
Modeling Competition in a Market for Natural Catastrophe Insurance
复制标题
自然巨灾保险市场建模竞赛
DOI：
--
复制
发表时间：
2016
期刊：
影响因子：
--
通讯作者：
R. Davidson
中科院分区：
文献类型：
--
作者：
Yang Gao;Linda Nosick;Jamie B. Kruse;R. Davidson
我们使用静态完全信息古诺纳什非合作博弈模型的主要自然巨灾保险市场的结构，同时集成了国家的最先进的区域巨灾损失估计模型。这种方法可以生成最佳运营成本曲面，有助于创建内部风险模型，以衡量公司资本和财务风险管理的充足性。我们将建模框架应用于北卡罗来纳州东部住宅建筑飓风风险（洪水和风相结合）的全面案例研究。我们的研究结果表明，初级保险市场的集中程度会导致公司经营决策的显著差异（例如，选择再保险和保留或封顶盈余）。正如预期的那样，竞争更加激烈的初级保险市场会降低初级保险公司的盈利能力，但对房主具有吸引力;因此，在承保该区域尽可能多的财产与保持承保人的盈利能力/偿付能力之间需要保持一种重要的平衡。此外，我们的研究结果表明，鼓励保险公司的巨灾准备金可以降低其破产的可能性。
We model the structure of the primary natural catastrophe insurance market using a static perfect information Cournot†Nash noncooperative game while integrating a state†of†the†art regional catastrophe loss estimation model. This approach, which generates an optimal operational cost surface, contributes to the creation of an internal risk model to measure the adequacy of a firm’s capital and financial risk management. We apply the modeling framework to a full†scale case study for hurricane risk (flood and wind combined) for residential buildings in eastern North Carolina. The results from our study indicate that the level of concentration in the primary insurance market can lead to significant differences in the firm’s operational decisions (e.g., choice in reinsurance and retained or capped surplus). As expected, a more competitive primary insurance market reduces the profitability of primary insurers, but is attractive to homeowners; hence there is an important balance to be maintained between covering as many properties as possible in the region while maintaining the profitability/solvency of the carriers. Further, our results suggest that encouraging catastrophe reserves for insurance companies can reduce their likelihood of insolvency.