Related papers: Pricing insurance policies with offsetting relatio…
As insurers increasingly behave like financial intermediaries and actively participate in capital markets, understanding the dependence structure between insurance and financial risks becomes crucial for insurers' operations. This paper…
We present a general approach to the pricing of products in finance and insurance in the multi-period setting. It is a combination of the utility indifference pricing and optimal intertemporal risk allocation. We give a characterization of…
This paper analyzes optimal insurance design when the insurer internalizes the effect of coverage on third-party service prices. A monopolistic insurer contracts with risk-averse agents who have sequential two-dimensional private…
Equilibrium pricing has been proven to underlie the rational Insured expectancy of premia additivity for composition of policies fully covering independent risks.
Traditional insurance pricing relies on risk-based principles that ensure actuarial fairness and solvency but do not explicitly account for policyholders' price sensitivity. We formulate insurance pricing as a decision-making problem and…
This contribution is concerned with price optimisation of the new business for a non-life product. Due to high competition in the insurance market, non-life insurers are interested in increasing their conversion rates on new business based…
With the rise of emerging risks, model uncertainty poses a fundamental challenge in the insurance industry, making robust pricing a first-order question. This paper investigates how insurers' robustness preferences shape competitive…
The non-life insurance sector operates within a highly competitive and tightly regulated framework, confronting a pivotal juncture in the formulation of pricing strategies. Insurers are compelled to harness a range of statistical…
Pricing decisions stand out as one of the most critical tasks a company faces, particularly in today's digital economy. As with other business decision-making problems, pricing unfolds in a highly competitive and uncertain environment.…
The paper studies pricing of insurance products focusing on the pricing of annuities under uncertainty. This pricing problem is crucial for financial decision making and was studied intensively, however, many open questions still remain. In…
In this manuscript we propose a method for pricing insurance products that cover not only traditional risks, but also unforeseen ones. By considering the Poisson process parameter to be a mixed random variable, we capture the heterogeneity…
We analyze multiline pricing and capital allocation in equilibrium no-arbitrage markets. Existing theories often assume a perfect complete market, but when pricing is linear, there is no diversification benefit from risk pooling and…
Autocalibration is known to be an important requirement for insurance premiums since it guarantees that premium income balances corresponding claims, on average, not only at portfolio level but also inside each group paying similar…
Pricing decisions of companies require an understanding of the causal effect of a price change on the demand. When real-life pricing experiments are infeasible, data-driven decision-making must be based on alternative data sources such as…
This paper develops a dynamic equilibrium model of the insurance market that jointly characterizes insurers' underwriting, investment, recapitalization, and dividend policies under model uncertainty and financial frictions. Competitive…
This thesis investigates the dynamics of multimarket contact and airline mergers on collusive pricing of airlines. In align with Bernheim and Whinston (1990) and Athey et.al.(2004), it detects collusive pricing via pairwise price difference…
Pricing insurance for risks associated with information technology systems presents a complex modelling challenge, combining the disciplines of operations management, security, and economics. This work proposes a socioeconomic modelling…
This paper analyzes the equilibrium of insurance market in a dynamic setting, focusing on the interaction between insurers' underwriting and investment strategies. Three possible equilibrium outcomes are identified: a positive insurance…
We study optimal reinsurance in the framework of stochastic game theory, in which there is an insurer and two reinsurers. A Stackelberg model is established to analyze the non-cooperative relationship between the insurer and reinsurers,…
Insurers underwrite risks: they calculate risks and decide on the insurance price. Insurers seem captivated by two trends enabled by Artificial Intelligence (AI). First, insurers could use AI for analysing more and new types of data to…