具有不完全信息的竞争性随机保险市场中的最优保费定价：贝叶斯博弈论方法

IF 1.9 2区经济学 Q2 ECONOMICS

Insurance Mathematics & Economics Pub Date : 2024-08-05 DOI:10.1016/j.insmatheco.2024.07.006

Fotios Mourdoukoutas , Tim J. Boonen , Bonsoo Koo , Athanasios A. Pantelous

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引用次数: 0

摘要

本文研究了一个具有不完全信息的单期随机保险市场。索赔总额服从复合泊松分布。假定保险人是指数效用最大化者，他们的风险规避程度构成了他们的私人信息。保费策略被定义为风险规避类型与保费率之间的映射。最优保费策略用纯策略贝叶斯纳什均衡表示，其存在性和唯一性在保险人特定需求函数的特定条件下得到证明。还推导出了均衡保费策略的边界和单调性。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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Optimal premium pricing in a competitive stochastic insurance market with incomplete information: A Bayesian game-theoretic approach

This paper examines a stochastic one-period insurance market with incomplete information. The aggregate amount of claims follows a compound Poisson distribution. Insurers are assumed to be exponential utility maximizers, with their degree of risk aversion forming their private information. A premium strategy is defined as a mapping between risk-aversion types and premium rates. The optimal premium strategies are denoted by the pure-strategy Bayesian Nash equilibrium, whose existence and uniqueness are demonstrated under specific conditions on the insurer-specific demand functions. Boundary and monotonicity properties for equilibrium premium strategies are derived.

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来源期刊

Insurance Mathematics & Economics 管理科学-数学跨学科应用

CiteScore

3.40

自引率

15.80%

发文量

审稿时长

17.3 weeks

期刊介绍： Insurance: Mathematics and Economics publishes leading research spanning all fields of actuarial science research. It appears six times per year and is the largest journal in actuarial science research around the world. Insurance: Mathematics and Economics is an international academic journal that aims to strengthen the communication between individuals and groups who develop and apply research results in actuarial science. The journal feels a particular obligation to facilitate closer cooperation between those who conduct research in insurance mathematics and quantitative insurance economics, and practicing actuaries who are interested in the implementation of the results. To this purpose, Insurance: Mathematics and Economics publishes high-quality articles of broad international interest, concerned with either the theory of insurance mathematics and quantitative insurance economics or the inventive application of it, including empirical or experimental results. Articles that combine several of these aspects are particularly considered.