Equitable solvent controls in a multi-period game model of risk

Vsevolod K. Malinovskii

Insurance: Mathematics and Economics, 2012, vol. 51, issue 3, 599-616

Abstract: In insurance two major types of cycles are known: (a) regular many years long up- and down-swings referred to as underwriting cycles and (b) irregular short-range fluctuations. The key rationale of the underwriting cycles is migration of insureds triggered by the insurers’ price competition while the short-range fluctuations are due to unpredictable fluctuations in economic surroundings. The competition-originated cycles were modeled in the framework of a Lundberg’s-type multi-period model of risk in Malinovskii (2010, submitted for publication). Short-range fluctuations were modeled under diverse nature scenarios in the framework of (i) diffusion (see Malinovskii, 2007, 2009) and (ii) Lundberg’s-type multi-period model (see Malinovskii, 2008a). In this paper the results of Malinovskii (2009) are extended on the Lundberg’s-type multi-period model.

Keywords: Multi-period Lundberg’s-type model of risk; Scenario analysis; Exponential annual models; Incompletely known risk; Adaptive control strategies; Solvency; Equity (search for similar items in EconPapers)
Date: 2012
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Citations: View citations in EconPapers (6)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:insuma:v:51:y:2012:i:3:p:599-616

DOI: 10.1016/j.insmatheco.2012.08.001

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