OPTIMUM INSURANCE CONTRACTS WITH BACKGROUND RISK AND HIGHER-ORDER RISK ATTITUDES

DOI10.1017/asb.2018.20zbMath1416.91165OpenAlexW2799715227WikidataQ129926367 ScholiaQ129926367MaRDI QIDQ4691246

Yichun Chi, Wei Wei

Publication date: 19 October 2018

Published in: ASTIN Bulletin (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1017/asb.2018.20

zbMATH Keywords

background riskstop-loss insurancestochastically increasingright tail increasinghigher-order risk attitudes

Mathematics Subject Classification ID

Related Items (8)

Revisiting the optimal insurance design under adverse selection: distortion risk measures and tail-risk overestimation ⋮ Preservation of WSAI under default transforms and its application in allocating assets with dependent realizable returns ⋮ The effect of risk constraints on the optimal insurance policy ⋮ Optimal insurance design under mean-variance preference with narrow framing ⋮ Optimal insurance for a prudent decision maker under heterogeneous beliefs ⋮ Optimal insurance with background risk: an analysis of general dependence structures ⋮ OPTIMAL INCENTIVE-COMPATIBLE INSURANCE WITH BACKGROUND RISK ⋮ MEAN–VARIANCE INSURANCE DESIGN WITH COUNTERPARTY RISK AND INCENTIVE COMPATIBILITY

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