Optimal per claim deductibility in insurance with the possibility of risky investments

DOI10.1016/0167-6687(95)00016-LzbMath0836.62090OpenAlexW2074590907WikidataQ127155262 ScholiaQ127155262MaRDI QIDQ1904994

Jostein Paulsen

Publication date: 6 May 1996

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0167-6687(95)00016-l

zbMATH Keywords

standard risk aversiondecreasing absolute risk aversioncompound Poisson random variableoptimal level of deductibilityoptimal level of risky investment

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05)

Cites Work

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• Preservation of More risk averse under expectations
• Properties of functions of the excess of loss retention limit with applications
• Risk Aversion with Random Initial Wealth
• Standard Risk Aversion

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