"This paper examines a #stochastic one-period #insurancemarket 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 #riskaversion forming their private information. A premium strategy is defined as a map between risk 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 for the demand function..."
This paper examines the Bowley solution in the context of #insurance contracts using the expected utility framework. Specifically, the paper analyzes a sequential game between a #policyholder and an #insurer, in which the policyholder selects the optimal #indemnity function and the insurer adjusts the pricing kernel to maximize expected #netprofit. The paper finds that the optimal safety loading factor increases with the policyholder's #riskaversion level and the #probability of zero loss. However, the paper also shows that the Bowley solution is #pareto dominated, meaning that both parties' interests can be further improved.
"We describe a simple model of #insurance demand that can be applied to the #propertyinsurance, #liabilityinsurance, #lifeinsurance, and #healthinsurance markets. We also demonstrate how #riskaversion affects a variety of real-life insurance decisions made under conditions of #uncertainty, including how much the market will bear to pay for insurance administrative expenses and how demand varies for different types of #autoinsurance#coverage.”
"We study blockchain adoption in insurance-reinsurance markets. Operating costs decrease with the adoption rate, since verification and storage costs are shared. We quantify how the equilibrium adoption decisions depend on contract characteristics, risk aversions, potential losses and cost structure. The reinsurance firm internalizes the benefits of adoption on other insurance firms, acting as a central planner. We characterize the adoption gap between decentralized (Nash) and centralized blockchain consortium."
"We ... present a simple sufficient condition for monotone comparative statics of changes in risk under risk aversion."
"We... apply two stochastic orders to some classic decision problems in economics and finance including a portfolio problem, two insurance problems, and four management decision problems and present a simple sufficient condition for monotone comparative statics of changes in risk under risk aversion."
"We study insurers' behavior under monopoly and Cournot duopoly when they can affect the probability or magnitude of harm from accidents."