Optimal insurance contract under a value-at-risk constraint
This study develops an optimal insurance contract endogenously under a value-at-risk (VaR) constraint. Although Wang et al. [2005] had examined this problem, their assumption implied that the insured is risk neutral. Consequently, this study extends Wang et al. [2005] and further considers a more realistic situation where the insured is risk averse. The study derives the optimal insurance contract as a single deductible insurance when the VaR constraint is redundant or as a double deductible insurance when the VaR constraint is binding. Finally, this study discusses the optimal coverage level from common forms of insurances, including deductible insurance, upper-limit insurance, and proportional coinsurance. The Geneva Risk and Insurance Review (2006) 31, 91–110. doi:10.1007/s10713-006-0557-5
Year of publication: |
2006
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Authors: | Huang, Hung-Hsi |
Published in: |
The Geneva Risk and Insurance Review. - Palgrave Macmillan, ISSN 1554-964X. - Vol. 31.2006, 2, p. 91-110
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Publisher: |
Palgrave Macmillan |
Saved in:
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