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Equilibrium reinsurance-investment strategy for mean-variance insurers under state dependent risk aversion

Alia Ishak, Chighoub Farid

Control and Cybernetics

2019

Vol. 48, No. 4

489--523

In this work, we study the equilibrium reinsurance/ new business and investment strategy for mean-variance insurers, under the assumption that the risk aversion is a function of current wealth level. The surplus of the agents is represented by a sum of a compound process and a linear premium perturbed with a Brownian component. The financial market consists of one riskless asset and a multiple risky assets whose price processes are driven by Poisson random measures and independent Brownian motions. We characterize explicit expressions for the time-consistent Nash equilibrium strategy and the equilibrium value function via a forward-backward stochastic system and an equilibrium condition. An interesting feature of these FBSDEs is that a time parameter is involved, so that they form a flow of FBSDEs. Furthermore, a feedback representation of an equilibrium solution is derived. This solution provides a tool for comparing the equilibrium strategy with those derived in other papers, where some special cases were studied by the dynamic programming argument.

The quality of information on websites of insurance companies and their competitive position

Czerwiński A.

Information Systems in Management

2016

Vol. 5, No. 1

3--14

The aim of this article is to present results of studies on the relationship between the evaluation of the quality of the information contained on a website of an insurer and its competitive position. The evaluation of the quality of the information on the websites of insurance companies was based on the scoring method using an original tool to assess the quality of the information on the Internet. Its structure is based on the model of the information quality proposed by Eppler and includes 16 statements concerning individual quality criteria. The assessment of the competitive position of insurers took into account their share in the market of personal and property insurances (measured by the share in gross written premium) and the scale of the impact on the market through their websites (measured by their popularity). The studies carried out and the analysis of their results did not confirm the existence of statistically significant correlation between the quality of the information contained on the websites of insurers and their share in the market. However, the hypothesis was verified that there is a statistically significant correlation between the quality of the information contained on the websites of insurers and their popularity.