On a Markovian game model for competitive insurance pricing

Claire Mouminoux (), Christophe Dutang (), Stéphane Loisel () and Hansjoerg Albrecher
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Claire Mouminoux: BETA - Bureau d'Économie Théorique et Appliquée - AgroParisTech - UNISTRA - Université de Strasbourg - Université de Haute-Alsace (UHA) - Université de Haute-Alsace (UHA) Mulhouse - Colmar - UL - Université de Lorraine - CNRS - Centre National de la Recherche Scientifique - INRAE - Institut National de Recherche pour l’Agriculture, l’Alimentation et l’Environnement
Christophe Dutang: CEREMADE - CEntre de REcherches en MAthématiques de la DEcision - Université Paris Dauphine-PSL - PSL - Université Paris Sciences et Lettres - CNRS - Centre National de la Recherche Scientifique
Stéphane Loisel: LSAF - Laboratoire de Sciences Actuarielle et Financière - UCBL - Université Claude Bernard Lyon 1 - Université de Lyon
Hansjoerg Albrecher: UNIL - Université de Lausanne = University of Lausanne

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Abstract: In this paper, we extend the non-cooperative one-period game of Dutang et al. (2013) to model a non-life insurance market over several periods by considering the repeated (one-period) game. Using Markov chain methodology, we derive general properties of insurer portfolio sizes given a price vector. In the case of a regulated market (identical premium), we are able to obtain convergence measures of long run market shares. We also investigate the consequences of the deviation of one player from this regulated market. Finally, we provide some insights of long-term patterns of the repeated game as well as numerical illustrations of leadership and ruin probabilities.

Keywords: Markov chains; Game theory; Consumers' price sensitivity; Solvency constraint; Non-cooperative game (search for similar items in EconPapers)
Date: 2021-10-29
New Economics Papers: this item is included in nep-com, nep-gth, nep-ias and nep-rmg
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Published in Methodology and Computing in Applied Probability, 2021, ⟨10.1007/s11009-021-09906-1⟩

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Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:hal-03448339

DOI: 10.1007/s11009-021-09906-1

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