On a Markovian Game Model for Competitive Insurance Pricing

In this paper, we extend the non-cooperative one-period game of Dutang et al. (Journal Operational Research 231(3):702–711, 2013) to model a non-life insurance market over several periods by considering repeated (one-period) game. Using Markov chain methodology, derive general properties insurer portfolio sizes given price vector. case regulated (identical premium), are able obtain convergence measures long run shares. We also investigate consequences deviation one player from market. Finally, provide some insights long-term patterns as well numerical illustrations leadership and ruin probabilities.