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

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      <subfield code="c">Yichun Chi, Wei Wei</subfield>
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      <subfield code="a">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.</subfield>
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      <subfield code="d">Belgium : ASTIN and AFIR Sections of the International Actuarial Association</subfield>
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      <subfield code="g">03/09/2018 Volumen 48 Número 3 - septiembre 2018 , p. 1025-1048</subfield>
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