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

Christophe Dutang (1) , Hansjoerg Albrecher (2) , Stéphane Loisel (1)

1 SAF - Laboratoire de Sciences Actuarielle et Financière
2 UNIL - Université de Lausanne = University of Lausanne

We formulate a noncooperative game to model competition for policyholders among non-life insurance companies, taking into account market premium, solvency level, market share and underwriting results. We study Nash equilibria and Stackelberg equilibria for the premium levels, and give numerical illustrations.

Mots clés: Non-life insurance; Market model; Game theory; Nash equilibrium; Stack- elberg equilibrium

Domaines: Applications [stat.AP]; Calcul [stat.CO]; Statistiques [math.ST]; Finance quantitative [q-fin.CP]

Christophe Dutang, Hansjoerg Albrecher, Stéphane Loisel. Competition among non-life insurers under solvency constraints: A game-theoretic approach. European Journal of Operational Research, 2013, 231 (3), pp.702 - 711. ⟨10.1016/j.ejor.2013.06.029⟩. ⟨hal-01616156⟩