Strauss, Jason (2007): Equilibrium in the Insurance Industry: Price and Probability of Insolvency.
Download (114kB) | Preview
The goal of this essay is to show an insurance market equilibrium defined by an insurance product price and a probability of insolvency for the insurer(s).
|Item Type:||MPRA Paper|
|Original Title:||Equilibrium in the Insurance Industry: Price and Probability of Insolvency|
|Keywords:||insurance, insurance markets, insolvency, bankruptcy|
|Subjects:||G - Financial Economics > G2 - Financial Institutions and Services > G22 - Insurance ; Insurance Companies ; Actuarial Studies
G - Financial Economics > G3 - Corporate Finance and Governance > G33 - Bankruptcy ; Liquidation
|Depositing User:||Jason Strauss|
|Date Deposited:||10. Oct 2008 07:38|
|Last Modified:||16. Feb 2013 03:21|
Agarwal, V. and Ligon, J.A., 1998, 'Insurer Contract Nonperformance in a Market with Adverse Selection,' The Journal of Risk and Insurance, 65 (1), pp.135-150.
Akerlof, G. A. 1970, 'The Market for 'Lemons': Quality Uncertainty and the Market Mechanism,' Quarterly Journal of Economics, 84 (3), 488-500.
Ania, A. B., Troger, T. and Wambach, A. 2002, 'An Evolutionary Analysis of Insurance Markets with Adverse Selection,' Games and Economic Behavior, 40 (2), 153-184.
Arrow, K. J. (1996) 'The Role of Securities in the Optimal Allocation of Risk-Bearing' in G. Debreu (ed). General equilibrium theory. Volume 1. Elgar Reference Collection. International Library of Critical Writings in Economics, no. 67; Cheltenham, U.K.:; Elgar; distributed by Ashgate, Brookfield, Vt, pp. 32-37.
Booth, et al, 1999, “Modern Actuarial Theory and Practice,” New York, Chapman & Hall/CRC.
Cagle, J. A. B. and Harrington, S. E. 1995, 'Insurance Supply with Capacity Constraints and Endogenous Insolvency Risk,' Journal of Risk and Uncertainty, 11 (3), 219-232.
Choi, S., Hardigree, D. and Thistle, P. D. 2002, 'The Property/Liability Insurance Cycle: A Comparison of Alternative Models,' Southern Economic Journal, 68 (3), 530-548.
Cummins, J.D. and Danzon, P.M, 1997, 'Price, Financial Quality, and Capital Flows in Insurance Markets,' Journal of Financial Intermediation, 6, 3-38.
Cummins, J.D. and Mahul, O., 2003, 'Optimal Insurance with Divergent Beliefs about Insurer Total Default Risk,' The Journal of Risk and Uncertainty, 27 (2), pp.121-138.
Cummins, J. D. and Lamm-Tennant, J. 1994, 'Capital Structure and the Cost of Equity Capital in the Property-Liability Insurance Industry,' Insurance: Mathematics and Economics, 15 (2-3), 187-201.
Doherty, N. A. 1981, 'The Measurement of Output and Economies of Scale in Property-Liability Insurance,' Journal of Risk and Insurance, 48 (3), 390-402.
Doherty, N.A., and Schlesinger, H, 1990, 'Rational Insurance Purchasing: Consideration of Contract Nonperformance,' The Quarterly Journal of Economics, 2, 243-253.
Doherty, N. A. and Garven, J. R. 1995, 'Insurance Cycles: Interest Rates and the Capacity Constraint Model,' Journal of Business, 68 (3), 383-404.
Higgins, M. L. and Thistle, P. D. 2000, 'Capacity Constraints and the Dynamics of Underwriting Profits,' Economic Inquiry, 38 (3), 442-457.
Joskow, P. L. 1973, 'Cartels, Competition and Regulation in the Property-Liability Insurance Industry,' Bell Journal of Economics, 4 (2), 375-427.
Kaas, et al, 2001, 'Modern Actuarial Risk Theory,' Dordrecht, The Netherlands, Kluwer Academic Publishers.
Office of the Superintendent of Financial Institutions, January 2007, 'Minimum Capital Test for Federally Regulated Property and Casualty Insurance Companies,’ www.osfi-bsif.gc.ca
Rees, et al, 1999, 'Regulation of Insurance Markets,' The Geneva Papers on Risk and Insurance Theory, 24, 55-68.
Rothschild, M. and Stiglitz, J. E. 1976, 'Equilibrium in Competitive Insurance Markets: An Essay on the Economics of Imperfect Information,' Quarterly Journal of Economics, 90 (4), 630-649.
Tapiero, C.S, and Jacque, L., 1987 'The Expected Cost of Ruin and Insurance Premiums in Mutual Insurance,' The Journal of Risk and Insurance, 54 (3), pp. 594-602.
Winter, R. A. 1988, 'The Liability Crisis and the Dynamics of Competitive Insurance Markets,' Yale Journal on Regulation, 5 (2), 455-499.