Computational Model Library

An Agent-Based Model of an Insurer's Estimated Capital Requirement in a Simple Insurance Market with Imperfect Information in C# (1.0.0)

This is an agent-based model of a simple insurance market with two types of agents: customers and insurers. Insurers set premium quotes for each customer according to an estimation of their underlying risk based on past claims data. Customers either renew existing contracts or else select the cheapest quote from a subset of insurers. Insurers then estimate their resulting capital requirement based on a 99.5% VaR of their aggregate loss distributions. These estimates demonstrate an under-estimation bias due to the winner’s curse effect.

Release Notes

Initial release

Associated Publications

An Agent-Based Model of an Insurer's Estimated Capital Requirement in a Simple Insurance Market with Imperfect Information in C# 1.0.0

Submitted by Rei England Published Sep 24, 2023 Last modified Sep 24, 2023
insurance Agent based modelling winners curse imperfect information capital

This is an agent-based model of a simple insurance market with two types of agents: customers and insurers. Insurers set premium quotes for each customer according to an estimation of their underlying risk based on past claims data. Customers either renew existing contracts or else select the cheapest quote from a subset of insurers. Insurers then estimate their resulting capital requirement based on a 99.5% VaR of their aggregate loss distributions. These estimates demonstrate an under-estimation bias due to the winner’s curse effect.

Release Notes

Initial release

Cite this Model

Rei England (2023, September 24). “An Agent-Based Model of an Insurer’s Estimated Capital Requirement in a Simple Insurance Market with Imperfect Information in C#” (Version 1.0.0). CoMSES Computational Model Library. Retrieved from: https://www.comses.net/codebases/f176891d-a4bf-422c-8227-f6357ea67e08/releases/1.0.0/

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Contributors
Rei England
DOI
No assigned DOI
Model Version
1.0.0
License
MIT
Programming Language
C#
Software Framework
.net framework 4.7.2
Operating System
Windows
Publish Date
Sunday, September 24, 2023
Last Updated
Sunday, September 24, 2023
Downloads 1
Peer Review
Unreviewed
Version Submitter First published Last modified Status
1.0.0 Rei England Sun Sep 24 22:19:29 2023 Sun Sep 24 22:19:29 2023 Published

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