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Etude des marchés d'assurance non-vie à l'aide d'équilibre de Nash et de modèle de risques avec dépendance

Abstract : This thesis aims at explaining interactions among economic agents in non-life insurance markets. After emphasizing how essential the market premium is in the lapse decision, a noncooperative game is used to model competition. Starting with a one-period model, a game of insurers is formulated and its properties are examined to better understand the key factors of leadership positions over other insurers. The derivation of a dynamic framework is done by repeating of the one-shot game over several periods. A Monte-Carlo approach is used to assess the probability of being insolvent or staying a leader, or disappearing of the insurance game. This gives further insights on the presence of non-life insurance market cycles. Solving generalized Nash equilibrium is carried out by solving a semismooth equation based on the Karush-Kuhn-Tucker reformulation of the generalized Nash equilibrium problem. We study the convergence and the numerical aspects of computational methods. Regarding claim modelling, we study a risk model where the dependence is introduced by a mixing approach. Asymptotics of infinite-time ruin probabilities are obtained in a wide class of risk models with dependence among claims, as well as new explicit formulas for ruin probability in discrete-time.
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https://tel.archives-ouvertes.fr/tel-00703797
Contributor : Christophe Dutang <>
Submitted on : Monday, June 4, 2012 - 1:51:47 PM
Last modification on : Thursday, February 8, 2018 - 11:09:29 AM
Long-term archiving on: : Thursday, December 15, 2016 - 10:54:40 AM

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  • HAL Id : tel-00703797, version 1

Citation

Christophe Dutang. Etude des marchés d'assurance non-vie à l'aide d'équilibre de Nash et de modèle de risques avec dépendance. Finance quantitative [q-fin.CP]. Université Claude Bernard - Lyon I, 2012. Français. ⟨tel-00703797v1⟩

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