Competitive Insurance Pricing Strategies for Multiple Lines of Business : A Game Theoretic Approach

This paper models an insurance market with insurers who compete with each other in more than one line of business (LoB). They set premiums for the single LoBs, whereas a discount on the total sum of the single premiums under a multi-policy contract is applied. Young tableaux are used to illustrate the combinatorial components of the weighted average market premium. We consider the collective risk model to define the aggregate loss faced by insurers, with claim amounts being independent between distinct LoBs, but dependent on the state of the environment. The optimal premium for every single line of business is given by a numerical application of the Nash equilibrium