Optimal Premium Pricing in a Competitive Stochastic Non-Life Insurance Market: Game Theoretic Approaches

This thesis aims to provide an objective analysis of the underwriting process and the strategic interactions of various market participants in the general insurance industry. Models are utilised to characterise the risk preferences of insurers as well as to capture the relationship between pricing policies and volume of exposure. The distributional aspects of the underlying risks are taken into consideration to constrain insurers to be solvent and meet the technical requirements as imposed by market and government regulators. The novel outcome of this thesis is that it provides optimal premium strategies based on the behavioural and strategic aspects of the insurers. Therefore, the subjective speculations of management and marketing sectors regarding competitors’ possible risk attitudes and strategies can now be formalised and rigorously analysed in order to produce optimal pricing policies.