Related papers: Optimal Underreporting and Competitive Equilibrium
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…
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…
We propose a two-layer stochastic game model to study reinsurance contracting and competition in a market with one insurer and two competing reinsurers. The insurer negotiates with both reinsurers simultaneously for proportional reinsurance…
We study an optimal claim reporting problem in a bonus-malus setting. We assume, that the insurance contract consists of two regimes, where reporting a claim leads to a transition to a higher-premium regime, whereas remaining claim-free for…
We consider a model of a reinsurance market consisting of multiple insurers on the demand side and multiple reinsurers on the supply side, thereby providing a unifying framework and extension of the recent literature on optimality and…
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,…
We studied the behavior and variation of utility between the two conflicting players in a closed Nash-equilibrium loop. Our modeling approach also captured the nexus between optimal premium strategizing and firm performance using the…
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…
This paper investigates the efficiency loss in social cost caused by strategic bidding behavior of individual participants in a supply-demand balancing market, and proposes a mechanism to fully recover equilibrium social optimum via…
With a multilateral vertical contracting model of media markets, we examine upstream competition and contractual arrangements in content provision. We analyze the trade of content by the Nash bargaining solution and the downstream…
The bonus-malus system (BMS) is a widely used premium adjustment mechanism based on policyholder's claim history. Most auto insurance BMSs assume that policyholders in the same bonus-malus (BM) level share the same a posteriori risk…
We introduce a strategic behavior in reinsurance bilateral transactions, where agents choose the risk preferences they will appear to have in the transaction. Within a wide class of risk measures, we identify agents' strategic choices to a…
The paper studies an oligopolistic equilibrium model of financial agents who aim to share their random endowments. The risk-sharing securities and their prices are endogenously determined as the outcome of a strategic game played among all…
We consider a market in which both suppliers and consumers compete for a product via scalar-parameterized supply offers and demand bids. Scalar-parameterized offers/bids are appealing due to their modeling simplicity and desirable…
Having fixed capacities, homogeneous products and price sensitive customer purchase decision are primary distinguishing characteristics of numerous revenue management systems. Even with two or three rivals, competition is still highly…
This project works with the risk model developed by Li et al. (2015) and quests modelling, estimating and pricing insurance for risks brought in by innovative technologies, or other emerging or latent risks. The model considers two…
In the classical Bonus-Malus System (BMS) in automobile insurance, the premium for the next year is adjusted according to the policyholder's claim history (particularly frequency) in the previous year. Some variations of the classical BMS…
I analyze long-term contracting in insurance markets with asymmetric information. The buyer privately observes her risk type, which evolves stochastically over time. A long-term contract specifies a menu of insurance policies, contingent on…
We study a stochastic differential game in a ruin theoretic environment. In our setting two insurers compete for market share, which is represented by a joint performance functional. Consequently, one of the insurers strives to maximize it,…
Agents attempt to maximize expected profits earned by selling multiple units of a perishable product where their revenue streams are affected by the prices they quote as well as the distribution of other prices quoted in the market by other…