کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
5077169 1374120 2008 8 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Optimal insurance under the insurer's risk constraint
موضوعات مرتبط
مهندسی و علوم پایه ریاضیات آمار و احتمال
پیش نمایش صفحه اول مقاله
Optimal insurance under the insurer's risk constraint
چکیده انگلیسی

In this paper, we impose the insurer's risk constraint on Arrow's optimal insurance model. The insured aims to maximize his/her expected utility of terminal wealth, under the constraint that the insurer wishes to control the expected loss of his/her terminal wealth below some prespecified level. We solve the problem, and it is shown that when the insurer's risk constraint is binding, the solution to the problem is not linear, but piecewise linear deductible. Moreover, it can be shown that the insured's optimal expected utility will increase if the insurer increases his/her risk tolerance.

ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Insurance: Mathematics and Economics - Volume 42, Issue 3, June 2008, Pages 992-999
نویسندگان
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