OPTIMAL INCENTIVE-COMPATIBLE INSURANCE WITH BACKGROUND RISK

DOI10.1017/asb.2021.7zbMath1478.91163OpenAlexW3142295492MaRDI QIDQ5152553

Ken Seng Tan, Yichun Chi

Publication date: 24 September 2021

Published in: ASTIN Bulletin (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1017/asb.2021.7

zbMATH Keywords

background riskincentive compatibilitymean-variance preferenceoptimal insurance designconditional expectation function

Mathematics Subject Classification ID

Risk models (general) (91B05) Actuarial mathematics (91G05)

Related Items (8)

Pareto-optimal insurance under heterogeneous beliefs and incentive compatibility ⋮ Revisiting the optimal insurance design under adverse selection: distortion risk measures and tail-risk overestimation ⋮ Pareto-optimal reinsurance under individual risk constraints ⋮ Bilateral risk sharing in a comonotone market with rank-dependent utilities ⋮ Optimal insurance design under belief-dependent utility and ambiguity ⋮ Bowley solution under the reinsurer's default risk ⋮ Optimal insurance for a prudent decision maker under heterogeneous beliefs ⋮ MEAN–VARIANCE INSURANCE DESIGN WITH COUNTERPARTY RISK AND INCENTIVE COMPATIBILITY

Cites Work

• Risk taking with additive and multiplicative background risks
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• Optimal reinsurance with positively dependent risks
• Optimal insurance under multiple sources of risk with positive dependence
• Reinsurance Arrangements Minimizing the Risk-Adjusted Value of an Insurer's Liability
• Optimal insurance contract with stochastic background wealth
• Optimal Reinsurance under VaR and CVaR Risk Measures: a Simplified Approach
• Optimal Reinsurance Revisited – A Geometric Approach
• OPTIMUM INSURANCE CONTRACTS WITH BACKGROUND RISK AND HIGHER-ORDER RISK ATTITUDES
• Optimal reinsurance under mean-variance premium principles

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