Optimal incentive-compatible insurance with background risk
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| Tag | 1 | 2 | Value |
|---|---|---|---|
| LDR | 00000cab a2200000 4500 | ||
| 001 | MAP20210027352 | ||
| 003 | MAP | ||
| 005 | 20210922173146.0 | ||
| 008 | 210920e20210205esp|||p |0|||b|spa d | ||
| 040 | $aMAP$bspa$dMAP | ||
| 100 | $0MAPA20210031908$aYichun Chi | ||
| 245 | 1 | 0 | $aOptimal incentive-compatible insurance with background risk$cYichun Chi, Ken Seng Tan |
| 520 | $aIn this paper, the optimal insurance design is studied from the perspective of an insured, who faces an insurable risk and a background risk. For the reduction of ex post moral hazard, alternative insurance contracts are asked to satisfy the principle of indemnity and the incentive-compatible condition. As in the literature, it is assumed that the insurer calculates the insurance premium solely on the basis of the expected indemnity. When the insured has a general mean-variance preference, an explicit form of optimal insurance is derived explicitly. It is found that the stochastic dependence between the background risk and the insurable risk plays a critical role in the insured's risk transfer decision. In addition, the optimal insurance policy can often change significantly once the incentive-compatible constraint is removed. | ||
| 650 | 4 | $0MAPA20080586294$aMercado de seguros | |
| 650 | 4 | $0MAPA20080554774$aIncentivos | |
| 650 | 4 | $0MAPA20080572396$aIndemnizaciones | |
| 700 | $0MAPA20100003206$aSeng Tan, Ken | ||
| 773 | 0 | $wMAP20077000420$tAstin bulletin$dBelgium : ASTIN and AFIR Sections of the International Actuarial Association$x0515-0361$g10/05/2021 Volumen 51 Número 2 - mayo 2021 , p. 661 - 688 |