کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
957403 928525 2007 25 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Optimal risk sharing with background risk
موضوعات مرتبط
علوم انسانی و اجتماعی اقتصاد، اقتصادسنجی و امور مالی اقتصاد و اقتصادسنجی
پیش نمایش صفحه اول مقاله
Optimal risk sharing with background risk
چکیده انگلیسی

This paper examines qualitative properties of efficient insurance contracts in the presence of background risk. In order to get results for all strictly risk-averse expected utility maximizers, the concept of “stochastic increasingness” is used. Different assumptions on the stochastic dependence between the insurable and uninsurable risk lead to different qualitative properties of the efficient contracts. The new results obtained under hypotheses of dependent risks are compared to classical results in the absence of background risk or to the case of independent risks. The theory is further generalized to nonexpected utility maximizers.

ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Economic Theory - Volume 133, Issue 1, March 2007, Pages 152–176
نویسندگان
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