کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
5077369 1374127 2008 6 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
An optimal insurance strategy for an individual under an intertemporal equilibrium
موضوعات مرتبط
مهندسی و علوم پایه ریاضیات آمار و احتمال
پیش نمایش صفحه اول مقاله
An optimal insurance strategy for an individual under an intertemporal equilibrium
چکیده انگلیسی
In this paper, we discuss how a risk-averse individual under an intertemporal equilibrium chooses his/her optimal insurance strategy to maximize his/her expected utility of terminal wealth. It is shown that the individual's optimal insurance strategy actually is equivalent to buying a put option, which is written on his/her holding asset with a proper strike price. Since the cost of avoiding risk can be seen as a risk measure, the put option premium can be considered as a reasonable risk measure. Jarrow [Jarrow, R., 2002. Put option premiums and coherent risk measures. Math. Finance 12, 135-142] drew this conclusion with an axiomatic approach, and we verify it by solving the individual's optimal insurance problem.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Insurance: Mathematics and Economics - Volume 42, Issue 1, February 2008, Pages 255-260
نویسندگان
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