Te Study on the Optimal Insurance Contract and Surrender Value under Background Risk

2021 ◽  
Vol 125 ◽  
pp. 69-92
Author(s):  
Jimin Hong
Keyword(s):  
Background Risk ◽  
Insurance Contract ◽  
Optimal Insurance

scholarly journals Incorporating model uncertainty into optimal insurance contract design

2017 ◽  
Vol 73 ◽  
pp. 68-74 ◽  
Author(s):  
Georg Ch. Pflug ◽  
Anna Timonina-Farkas ◽  
Stefan Hochrainer-Stigler
Keyword(s):  
Model Uncertainty ◽  
Contract Design ◽  
Insurance Contract ◽  
Optimal Insurance

Optimal insurance contract with stochastic background wealth

2013 ◽  
Vol 2013 (2) ◽  
pp. 119-139 ◽  
Author(s):  
Hung-Hsi Huang ◽  
Yung-Ming Shiu ◽  
Ching-Ping Wang
Keyword(s):  
Insurance Contract ◽  
Optimal Insurance ◽  
Stochastic Background

OPTIMUM INSURANCE CONTRACTS WITH BACKGROUND RISK AND HIGHER-ORDER RISK ATTITUDES

2018 ◽  
Vol 48 (3) ◽  
pp. 1025-1047 ◽  
Author(s):  
Yichun Chi ◽  
Wei Wei
Keyword(s):  
Higher Order ◽  
Background Risk ◽  
Risk Attitudes ◽  
Positive Dependence ◽  
Optimal Insurance ◽  
Insurance Contracts ◽  
Retention Level ◽  
Initial Wealth ◽  
Stop Loss ◽  
Dependence Structures

AbstractIn this paper, we study an optimal insurance problem in the presence of background risk from the perspective of an insured with higher-order risk attitudes. We introduce several useful dependence notions to model positive dependence structures between the insurable risk and background risk. Under these dependence structures, we compare insurance contracts of different forms in higher-order risk attitudes and establish the optimality of stop-loss insurance form. We also explicitly derive the optimal retention level. Finally, we carry out a comparative analysis and investigate how the change in the insured's initial wealth or background risk affects the optimal retention level.

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