Insurance demand and welfare-maximizing risk capital -- some hints for the regulator in the case of exponential preferences and exponential claims

DOI10.1016/J.INSMATHECO.2013.08.001MaRDI QIDQ2015622zbMATH OpenOpenAlexFDO

Authors Daniel Burren

Publication date 23 June 2014

Published in Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.insmatheco.2013.08.001

zbMATH Keywords

optimal stochastic controlrisk theoryinsurance demandwelfare-maximizing risk capital

Mathematics Subject Classification ID

Optimal stochastic control (93E20)

Recommendations

• Capital, aggregate risk, insurance prices and regulation
• Insurance demand and the elasticity of risk aversion
• scientific article; zbMATH DE number 2072576
• When is utilitarian welfare higher under insurance risk pooling?
• Insurance demand, the elasticity of risk aversion, and relative prudence: a further result

Cites work

• scientific article; zbMATH DE number 1795842 (Why is no real title available?)
• scientific article; zbMATH DE number 2231189 (Why is no real title available?)
• A theory of risk, return and solvency
• Coherent measures of risk
• Coherent risk measures, coherent capital allocations and the gradient allocation principle
• Convex measures of risk and trading constraints
• Duality for set-valued measures of risk
• Enterprise Risk Management, Insurer Value Maximisation, and Market Frictions
• Equilibrium in a Reinsurance Market
• Household consumption, investment and life insurance
• OPTIMAL NUMERAIRES FOR RISK MEASURES
• OPTIMAL RISK SHARING FOR LAW INVARIANT MONETARY UTILITY FUNCTIONS
• Optimal insurance and generalized deductibles
• Optimal insurance demand under marked point processes shocks.
• Optimal insurance in a continuous-time model
• Optimal proportional reinsurance and investment with minimum probability of ruin
• Pricing jump risk with utility indifference
• To split or not to split: Capital allocation with convex risk measures
• Vector-valued coherent risk measures

Cited in

(6)

• When is utilitarian welfare higher under insurance risk pooling?
• Capital, aggregate risk, insurance prices and regulation
• scientific article; zbMATH DE number 2072576 (Why is no real title available?)
• On the regulator-insurer interaction in a structural model
• Optimal reinsurance with regulatory initial capital and default risk
• Measuring ex ante welfare in insurance markets

Describes a project that uses

Uses Software

• QRM

This page was built for publication: Insurance demand and welfare-maximizing risk capital -- some hints for the regulator in the case of exponential preferences and exponential claims

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2015622)