Authors: Hansjörg Albrecher; Daily-Amir Dalit
Addresses: Department of Actuarial Science, Faculty of Business and Economics, University of Lausanne, UNIL-Dorigny, CH-1015 Lausanne, Switzerland; Swiss Finance Institute, Switzerland ' Department of Actuarial Science, Faculty of Business and Economics, University of Lausanne, UNIL-Dorigny, CH-1015 Lausanne, Switzerland
Abstract: We extend a game-theoretic model of Dutang et al. (2013) for non-life insurance pricing under competition among insurance companies and investigate the effects of asymmetric information on the equilibrium premium. We study Bayesian Nash equilibria as well as Bayesian Stackelberg equilibria and illustrate the sensitivity of equilibrium prices to various forms and magnitudes of information asymmetry through some numerical examples.
Keywords: non-life insurance pricing; premium; non-cooperative game theory; asymmetric information; Nash equilibrium; Stackelberg equilibrium; price sensitivity.
International Journal of Data Analysis Techniques and Strategies, 2017 Vol.9 No.4, pp.287 - 299
Received: 07 Dec 2015
Accepted: 03 Jun 2016
Published online: 30 Nov 2017 *