Etude des marchés d'assurance non-vie à l'aide d'équilibres de ...

tel-00703797, version 2 - 7 Jun 2012
Chapitre 2. Theorie des jeux et cycles de marché
MCR and SCR where regulators impose some specific actions to help returning to the SCR
level.
In our game, we choose to remove players which have a capital below MCR and to authorize
players to continue underwriting when capital is between the MCR and the SCR. Note that
the constraint function will be active when computing the Nash equilibrium, if the capital is
between the MCR and SCR.
2.2.6 Properties of the premium equilibrium
In this subsection, we investigate the properties of premium equilibrium. We start by
showing existence and uniqueness of a Nash equilibrium. Then, we focus on the sensitivity
analysis on model parameters of such equilibrium.
Proposition 2.2.1. The I-player insurance game with objective function and solvency constraint
function defined in Equations (2.2) and (2.5), respectively, admits a unique (Nash)
premium equilibrium.
Proof. The strategy set is R = [x, x] I , which is nonempty, convex and compact. Given
x−j ∈ [x, x], the function xj ↦→ Oj(x) is a quadratic function with second-degree term
−βjx2 j /mj(x) < 0 up to a constant nj/n. Thus, this function is (strictly) concave. Moreover,
for all players, the constraint functions g1 j are linear functions, hence also concave. By
Theorem 1 of Rosen (1965), the game admits a Nash equilibrium, i.e. existence is guaranteed.
By Theorem 2 of Rosen (1965), uniqueness is verified if we have the following inequality for
all x, y ∈ R,
I
rj(xj − yj)∇xj Oj(y)
I
+ rj(yj − xj)∇xj Oj(x) > 0, (2.6)
j=1
j=1
for some r ∈ R I with strictly positive components ri > 0. As the function xj ↦→ Oj(x)
is a strictly concave and differentiable function for all x−j, we have ∇xj Oj(x)(yj − xj) >
Oj(y) − Oj(x) and equivalently ∇xj Oj(y)(xj − yj) > Oj(x) − Oj(y). Thus,
(xj − yj)∇xj Oj(y) + (yj − xj)∇xj Oj(x) > Oj(y) − Oj(x) + Oj(x) − Oj(y) = 0.
Taking r = 1, equation (2.6) is verified.
Proposition 2.2.2. Let x⋆ be the premium equilibrium of the I-player insurance game. For
each player j, if x⋆ j ∈]x, x[, the player equilibrium x⋆j depends on the parameters in the following
way: it increases with break even premium πj, solvency coefficient k995, loss volatility σ(Y ),
expense rate ej and decreases with sensitivity parameter βj and capital Kj. Otherwise when
x⋆ j = x or x, the premium equilibrium is independent of any parameters.
Proof. The premium equilibrium x ⋆ j
conditions:
102
∇xj Oj(x ⋆ ) +
of insurer j solves the necessary Karush-Kuhn-Tucker
1≤l≤3
λ j⋆
l ∇xj gl j(x ⋆ j) = 0,
0 ≤ λ j⋆ , gj(x ⋆ j) ≥ 0, gj(x ⋆ j) T λ j⋆ = 0,
(2.7)