Merz, Michael; Wüthrich, Mario V. - In: Risks : open access journal 2 (2014) 2, pp. 226-248
We study the optimal insurance design problem. This is a risk sharing problem between an insured and an insurer. The … for the insurance cover. This risk-adjusted premium calculation principle uses the cost-of-capital approach as it is … main novelty in this paper is that we study this optimization problem under a risk-adjusted premium calculation principle …