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Optimal incentive-compatible insurance with background risk

Recurso electrónico / Electronic resource
Registro MARC
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040  ‎$a‎MAP‎$b‎spa‎$d‎MAP
100  ‎$0‎MAPA20210031908‎$a‎Yichun Chi
24510‎$a‎Optimal incentive-compatible insurance with background risk‎$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
7730 ‎$w‎MAP20077000420‎$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