A dynamic pricing game for general insurance market

2021 ◽  
Vol 389 ◽  
pp. 113349
Author(s):  
Danping Li ◽  
Bin Li ◽  
Yang Shen
Keyword(s):  
Dynamic Pricing ◽  
Insurance Market ◽  
General Insurance

scholarly journals Dynamic Pricing of General Insurance in a Competitive Market

2007 ◽  
Vol 37 (1) ◽  
pp. 1-34 ◽  
Author(s):  
Paul Emms
Keyword(s):  
Dynamic Pricing ◽  
Insurance Premium ◽  
Objective Functions ◽  
Insurance Pricing ◽  
Terminal Wealth ◽  
Optimal Insurance ◽  
General Insurance ◽  
Discounted Utility ◽  
Strategy Changes ◽  
Wealth Generation

A model for general insurance pricing is developed which represents a stochastic generalisation of the discrete model proposed by Taylor (1986). This model determines the insurance premium based both on the breakeven premium and the competing premiums offered by the rest of the insurance market. The optimal premium is determined using stochastic optimal control theory for two objective functions in order to examine how the optimal premium strategy changes with the insurer’s objective. Each of these problems can be formulated in terms of a multi-dimensional Bellman equation.In the first problem the optimal insurance premium is calculated when the insurer maximises its expected terminal wealth. In the second, the premium is found if the insurer maximises the expected total discounted utility of wealth where the utility function is nonlinear in the wealth. The solution to both these problems is built-up from simpler optimisation problems. For the terminal wealth problem with constant loss-ratio the optimal premium strategy can be found analytically. For the total wealth problem the optimal relative premium is found to increase with the insurer’s risk aversion which leads to reduced market exposure and lower overall wealth generation.

scholarly journals Life insurance: features, present state and problems

2021 ◽  
Vol 11/2 (-) ◽  
pp. 29-33
Author(s):  
Oksana PONOMAROVA ◽  
Viktoriia SYNYPOSTOL ◽  
Alina SHTANKO
Keyword(s):  
Life Insurance ◽  
Social Protection ◽  
Insurance Market ◽  
Insurance Companies ◽  
Social Stability ◽  
Insurance Risk ◽  
Insurance Premiums ◽  
Financial Condition ◽  
Inhibiting Factors ◽  
General Insurance

The essence of life insurance, its features and advantages in comparison with other kinds of insurance is considered. Influence of changes of insurance payments on change of level of payments is analyzed and the interrelation between insurance premiums and insurance payments is found out. The forecast for 2021–2023 on insurance premiums and payments accordingly is constructed. In connection with this, the study of the life insurance market in Ukraine and the identification of the main problems of its development is currently quite relevant. Life insurance plays an important role in ensuring security and social stability in the country. Considering the economic essence of life insurance, it should be noted its feature, which is a combination of properties of insurance protection and savings. In this regard, in the general insurance market of the country, its structural segment has specific features in defining the basic concepts of insurance risk and insured event. Yes, insurance risk is based on the unpredictability of the event. The brake on the development of the life insurance market in Ukraine is that the capitalization and financial condition of the vast majority of insurance companies is unsatisfactory and does not ensure their competitiveness even in the domestic market. The limited amount and imperfect structure of financial savings of most insurers prevent them from becoming an effective institution of social protection and investment in the Ukrainian economy. Among the inhibiting factors should also be noted the limited investment activities of insurers. It is defined the basic problems that hinder the development of life insurance in Ukraine.

scholarly journals Dynamic Pricing of General Insurance in a Competitive Market

2007 ◽  
Vol 37 (01) ◽  
pp. 1-34 ◽  
Author(s):  
Paul Emms
Keyword(s):  
Dynamic Pricing ◽  
Insurance Premium ◽  
Objective Functions ◽  
Insurance Pricing ◽  
Terminal Wealth ◽  
Optimal Insurance ◽  
General Insurance ◽  
Discounted Utility ◽  
Strategy Changes ◽  
Wealth Generation

A model for general insurance pricing is developed which represents a stochastic generalisation of the discrete model proposed by Taylor (1986). This model determines the insurance premium based both on the breakeven premium and the competing premiums offered by the rest of the insurance market. The optimal premium is determined using stochastic optimal control theory for two objective functions in order to examine how the optimal premium strategy changes with the insurer’s objective. Each of these problems can be formulated in terms of a multi-dimensional Bellman equation. In the first problem the optimal insurance premium is calculated when the insurer maximises its expected terminal wealth. In the second, the premium is found if the insurer maximises the expected total discounted utility of wealth where the utility function is nonlinear in the wealth. The solution to both these problems is built-up from simpler optimisation problems. For the terminal wealth problem with constant loss-ratio the optimal premium strategy can be found analytically. For the total wealth problem the optimal relative premium is found to increase with the insurer’s risk aversion which leads to reduced market exposure and lower overall wealth generation.

Financial reinsurance

1993 ◽  
Vol 120 (2) ◽  
pp. 311-380
Author(s):  
R. C. Wilkinson ◽  
P. K. Clark ◽  
D. H. Craighead ◽  
J. W. Dean ◽  
A. H. Silverman ◽  
...  
Keyword(s):  
Insurance Market ◽  
Risk Transfer ◽  
General Insurance ◽  
Degree Of Risk

AbstractThis paper seeks to define and explain financial reinsurance, a type of reinsurance growing rapidly in the general insurance market. It provides criteria for underwriters and actuaries to understand the degree of risk transfer involved and the limitations on that risk transfer. It seeks to set out criteria, applicable to both insurer and reinsurer, for estimating reserves where financial reinsurance covers are involved and for compliance with supervisory requirements. Several examples are given of typical financial reinsurance contracts currently in use.

Prediction of Technical Reserves Based on Grey Model — GM(1,1): Evidence from Non-life Egyptian Insurance Market

2019 ◽  
Vol 10 (9) ◽  
pp. 852-860
Author(s):  
Mahmoud Elsayed ◽  
◽  
Amr Soliman ◽  
Keyword(s):  
System Theory ◽  
Grey System Theory ◽  
Insurance Market ◽  
Grey Model ◽  
Loss Ratio ◽  
Grey System ◽  
Mathematical Technique ◽  
Supervisory Authority ◽  
Error Ratio ◽  
Using Data

Grey system theory is a mathematical technique used to predict data with known and unknown characteristics. The aim of our research is to forecast the future amount of technical reserves (outstanding claims reserve, loss ratio fluctuations reserve and unearned premiums reserve) up to 2029/2030. This study applies the Grey Model GM(1,1) using data obtained from the Egyptian Financial Supervisory Authority (EFSA) over the period from 2005/2006 to 2015/2016 for non-life Egyptian insurance market. We found that the predicted amounts of outstanding claims reserve and loss ratio fluctuations reserve are highly significant than the unearned premiums reserve according to the value of Posterior Error Ratio (PER).

Dynamic Pricing bei strategischem Konsumentenverhalten

2014 ◽  
Vol 43 (6) ◽  
pp. 292-297
Author(s):  
Jochen Gönsch ◽  
Michael Neugebauer ◽  
Claudius Steinhardt
Keyword(s):  
Dynamic Pricing
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