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...

In this paper, we impose the insurer's risk constraint on Arrow's optimal insurance model. The insured aims to maximize his/her expected utility of terminal wealth, under the constraint that the insurer wishes to control the expected loss of his/her terminal wealth below some prespecified level....

In this paper we consider the optimal insurance problem when the insurer has a loss limit constraint. Under the assumptions that the insurance price depends only on the policy's actuarial value, and the insured seeks to maximize the expected utility of his terminal wealth, we show that coverage...

Owing to fluctuations in the financial markets from time to time, the rate [lambda] of Poisson process and jump sequence {Vi} in the Merton's normal jump-diffusion model cannot be expected in a precise sense. Therefore, the fuzzy set theory proposed by Zadeh [Zadeh, L.A., 1965. Fuzzy sets....

Under the current regulatory guidelines for banks and insurance companies, the quantification of diversification benefits due to risk aggregation plays a prominent role. In this paper we establish second-order approximation of risk concentration associated with a random vector X:=(X1,X2,…,Xd)...