Centro de Documentacion de Fundación MAPFRE - Optimum insurance contracts with background risk and higher-order risk attitudes

MAP20180031069

Optimum insurance contracts with background risk and higher-order risk attitudes / Yichun Chi, Wei Wei

Sumario: 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

En: Astin bulletin. - Belgium : ASTIN and AFIR Sections of the International Actuarial Association = ISSN 0515-0361. - 03/09/2018 Volumen 48 Número 3 - septiembre 2018 , p. 1025-1048

1. Mercado de seguros . 2. Matemática del seguro . 3. Gerencia de riesgos . 4. Cálculo actuarial . 5. Contrato de seguro . I. Wei, Wei . II. Título.