Optimal incentive-compatible insurance with background risk

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<dc:creator>Yichun Chi</dc:creator>
<dc:creator>Seng Tan, Ken</dc:creator>
<dc:date>2021-02-05</dc:date>
<dc:description xml:lang="es">Sumario: In 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.</dc:description>
<dc:identifier>https://documentacion.fundacionmapfre.org/documentacion/publico/es/bib/177052.do</dc:identifier>
<dc:language>spa</dc:language>
<dc:rights xml:lang="es">InC - http://rightsstatements.org/vocab/InC/1.0/</dc:rights>
<dc:subject xml:lang="es">Mercado de seguros</dc:subject>
<dc:subject xml:lang="es">Incentivos</dc:subject>
<dc:subject xml:lang="es">Indemnizaciones</dc:subject>
<dc:type xml:lang="es">Artículos y capítulos</dc:type>
<dc:title xml:lang="es">Optimal incentive-compatible insurance with background risk</dc:title>
<dc:relation xml:lang="es">En: Astin bulletin. - Belgium : ASTIN and AFIR Sections of the International Actuarial Association = ISSN 0515-0361. - 10/05/2021 Volumen 51 Número 2 - mayo 2021 , p. 661 - 688</dc:relation>
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