In the insurance industry, the number of product-specific policies from different companies has increased significantly. The strong market competition has boosted the demand for a competitive premium. In actuarial science, scant literature still exists on how competition actually affects the...

This paper studies optimal insurance in partial equilibrium in case the insurer is protected by limited liability, and the multivariate insured risk is exchangeable. We focus on the optimal allocation of remaining assets in default. We show existence of an equilibrium in the market. In such an...

The calculation of a fair premium is always a challenging topic in the real world insurance applications. In this paper, a nonlinear premium-reserve (P-R) model is presented and the premium is derived by minimizing a quadratic performance criterion. The reserve is a stochastic equation, which...