Insurance pricing in an equilibrium model

DOI10.1080/03461238.2022.2161412MaRDI QIDQ6096079zbMATH OpenOpenAlexFDO

Authors Frank Y. Feng, Xudong Zeng

Publication date 11 September 2023

Published in Scandinavian Actuarial Journal (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/03461238.2022.2161412

zbMATH Keywords

competitive marketdynamic programmingequilibrium modelheterogeneous beliefsinsurance pricing

Mathematics Subject Classification ID

Dynamic programming in optimal control and differential games (49L20) Dynamic stochastic general equilibrium theory (91B51) Actuarial mathematics (91G05)

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Cites work

• A dynamic pricing game for general insurance market
• Arrow's theorem of the deductible with heterogeneous beliefs
• Asset pricing with heterogeneous beliefs and illiquidity
• Budget-constrained optimal insurance with belief heterogeneity
• Consensus Consumer and Intertemporal Asset Pricing with Heterogeneous Beliefs
• scientific article; zbMATH DE number 3434895 (Why is no real title available?)
• On optimal reinsurance treaties in cooperative game under heterogeneous beliefs
• On the existence of a representative reinsurer under heterogeneous beliefs
• On the optimality of a straight deductible under belief heterogeneity
• Optimal insurance with belief heterogeneity and incentive compatibility
• Optimal strategies for pricing general insurance
• Pricing in a competitive stochastic insurance market

Cited in

(18)

• Axiomatic characterization of insurance prices
• Heterogeneous expectations and speculative behavior in insurance-linked securities
• The fluctuations of insurers' risk appetite
• A dynamic pricing game for general insurance market
• Capital, aggregate risk, insurance prices and regulation
• On rational pricing for a profit-seeking insurer in the year of hard market
• Stock vs. mutual insurers: who should and who does charge more?
• NONLIFE INSURANCE PRICING: STATISTICAL MECHANICS VIEWPOINT
• Stock Market Portfolios and the Segmentation of the Insurance Market
• scientific article; zbMATH DE number 2099867 (Why is no real title available?)
• Pricing a heterogeneous portfolio based on a demand function
• Equilibrium pricing of general insurance policies
• Insurance Planning Models
• An Equilibrium Model of Health Insurance Provision and Wage Determination
• A multi-agent incomplete equilibrium model and its applications to reinsurance pricing and life-cycle investment
• Dynamic investment-driven insurance pricing and optimal regulation
• Insurance provision under a solvency requirement
• Insurance pricing under ambiguity

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