Publication: The dynamics of insurance prices
The dynamics of insurance prices
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Henriet, D., Klimenko, N., & Rochet, J.-C. (2016). The dynamics of insurance prices. The Geneva Risk and Insurance Review, 41(1), 2–18. https://doi.org/10.1057/grir.2015.5
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We develop a continuous-time general-equilibrium model to rationalise the dynamics of insurance prices in a competitive insurance market with financial frictions. Insurance companies choose underwriting and financing policies to maximise shareholder value. The equilibrium price dynamics are explicit, which allows simple numerical simulations and generates testable implications. In particular, we find that the equilibrium price of insurance is (weakly) predictable and the insurance sector always realises positive expected profits. More
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- Henriet, Dominique
- Klimenko, Nataliya
- Rochet, Jean-Charles
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Henriet, D., Klimenko, N., & Rochet, J.-C. (2016). The dynamics of insurance prices. The Geneva Risk and Insurance Review, 41(1), 2–18. https://doi.org/10.1057/grir.2015.5
