Competition among non-life insurers under solvency constraints: A game-theoretic approach |
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| Authors: | Christophe Dutang Hansjoerg Albrecher Stéphane Loisel |
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| Institution: | 1. Université de Lyon, Université Claude Bernard Lyon 1, Institut de Science Financière et d’Assurances, 50 Avenue Tony Garnier, F-69007 Lyon, France;2. Institut de Recherche Mathématique Avancée, UMR 7501, Université de Strasbourg et CNRS, 7 rue René Descartes, F-67000 Strasbourg, France;3. Department of Actuarial Science, Faculty of Business and Economics, University of Lausanne, UNIL-Dorigny, 1015 Lausanne, Switzerland;4. Swiss Finance Institute, Walchestrasse 9, CH-8006 Zurich, Switzerland |
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| Abstract: | 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. |
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| Keywords: | Non-life insurance Market model Game theory Nash equilibrium Stackelberg equilibrium |
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