Optimal proportional insurance under claim habit

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<title>Optimal proportional insurance under claim habit</title>
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<namePart>Cao, Jingyi</namePart>
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<abstract displayLabel="Summary">This paper analyzes a two-period optimal insurance problem in which a policyholder with meanvariance preferences purchases proportional insurance, and premiums depend on claim history through a variance-based principle. We derive the time-consistent optimal strategy in closed form and the constant precommitment strategy in semi-closed form. For the general precommitment case, we obtain a semi-explicit second-period solution and a numerical first-period solution. We also compare the three optimal strategies and study how key parameters influence decisions and value functions</abstract>
<note type="statement of responsibility">Jingyi Cao...[et al.]</note>
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<title>Astin bulletin</title>
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<publisher>Belgium : ASTIN and AFIR Sections of the International Actuarial Association</publisher>
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<identifier type="issn">0515-0361</identifier>
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<text>19/01/2026 Volume 56 Issue 1 - January 2026 , p. 220 - 242</text>
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