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Optimum insurance contracts with background risk and higher-order risk attitudes

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<title>Optimum insurance contracts with background risk and higher-order risk attitudes</title>
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<name type="personal" xmlns:xlink="http://www.w3.org/1999/xlink" xlink:href="MAPA20180014345">
<namePart>Wei, Wei</namePart>
<nameIdentifier>MAPA20180014345</nameIdentifier>
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<dateIssued encoding="marc">2018</dateIssued>
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<languageTerm type="code" authority="iso639-2b">eng</languageTerm>
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<abstract displayLabel="Summary">This paper studies an optimal insurance problem in the presence of background risk from the perspective of an insured with higher-order risk attitudes. It introduces several useful dependence notions to model positive dependence structures between the insurable risk and background risk. Under these dependence structures, it compares insurance contracts of different forms in higher order risk attitudes and establishes the optimality of stop-loss insurance form. It also explicitly derives the optimal retention level. Finally, it carries out a comparative analysis and investigates how the change in the insured's initial wealth or background risk affects the optimal retention level.</abstract>
<note type="statement of responsibility">Yichun Chi, Wei Wei</note>
<subject xmlns:xlink="http://www.w3.org/1999/xlink" xlink:href="MAPA20080586294">
<topic>Mercado de seguros</topic>
</subject>
<subject xmlns:xlink="http://www.w3.org/1999/xlink" xlink:href="MAPA20080602437">
<topic>Matemática del seguro</topic>
</subject>
<subject xmlns:xlink="http://www.w3.org/1999/xlink" xlink:href="MAPA20080591182">
<topic>Gerencia de riesgos</topic>
</subject>
<subject xmlns:xlink="http://www.w3.org/1999/xlink" xlink:href="MAPA20080579258">
<topic>Cálculo actuarial</topic>
</subject>
<subject xmlns:xlink="http://www.w3.org/1999/xlink" xlink:href="MAPA20080584290">
<topic>Contrato de seguro</topic>
</subject>
<classification authority="">13</classification>
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<titleInfo>
<title>Astin bulletin</title>
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<originInfo>
<publisher>Belgium : ASTIN and AFIR Sections of the International Actuarial Association</publisher>
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<identifier type="issn">0515-0361</identifier>
<identifier type="local">MAP20077000420</identifier>
<part>
<text>03/09/2018 Volumen 48 Número 3 - septiembre 2018 , p. 1025-1048</text>
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