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On rational pricing for a profit-seeking insurer in the year of hard market

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  • Malinovskii, Vsevolod K.

Abstract

The aim of this paper is to examine rational pricing of a profit-seeking insurer carrying on its business when underwriting cycle is in its upper phase. We focus on migration of insureds wishing to get the same services at a lower price. We investigate pricing which maximizes the insurer’s intrinsic value linked to its attractiveness for investors, provided that its solvency position is fixed. The main tool in this paper is explicit bounds on ruin capital in Lundberg risk model with migration. Written in terms of elementary functions, they make the solution straightforward.

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  • Malinovskii, Vsevolod K., 2015. "On rational pricing for a profit-seeking insurer in the year of hard market," Insurance: Mathematics and Economics, Elsevier, vol. 62(C), pages 107-117.
    • Handle: RePEc:eee:insuma:v:62:y:2015:i:c:p:107-117
    DOI: 10.1016/j.insmatheco.2015.03.003
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    References listed on IDEAS

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    1. Malinovskii, Vsevolod K., 2013. "Rationale of underwriters’ pricing conduct on competitive insurance market," Insurance: Mathematics and Economics, Elsevier, vol. 53(2), pages 325-333.
    2. Malinovskii, Vsevolod K., 2010. "Competition-Originated Cycles and Insurance Strategies," ASTIN Bulletin, Cambridge University Press, vol. 40(2), pages 797-843, November.
    3. Malinovskii, Vsevolod K., 2015. "Business planning for a profit-seeking insurer under deficiency of information," Insurance: Mathematics and Economics, Elsevier, vol. 62(C), pages 215-226.
    4. Eric D. Beinhocker, 2013. "Reflexivity, complexity, and the nature of social science," Journal of Economic Methodology, Taylor & Francis Journals, vol. 20(4), pages 330-342, December.
    5. Malinovskii, Vsevolod K., 2014. "Annual intrinsic value of a company in a competitive insurance market," Insurance: Mathematics and Economics, Elsevier, vol. 55(C), pages 310-318.
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    Cited by:

    1. Malinovskii, Vsevolod K., 2015. "Business planning for a profit-seeking insurer under deficiency of information," Insurance: Mathematics and Economics, Elsevier, vol. 62(C), pages 215-226.

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