Prevention efforts, insurance demand and price incentives under coherent risk measures
type: Item
instance of: scholarly article
title: Prevention efforts, insurance demand and price incentives under coherent risk measures
zbMATH Open document ID: 1448.91253
author: Sarah Bensalem
author: Nicolás Hernández Santibáñez
author: Nabil Kazi-Tani
published in: Insurance Mathematics \& Economics
publication date: 2020-08-03T00:00:00Z
review text: The authors frame the problems of self-insurance and self-protection in the context of a Stackelberg game between the two counterparties, in accordance with the ``principal-agent problem''. Furthermore, the criterion of both the agent and the principal is expressed by means of a law invariant coherent risk measure. The study shows that the considered game always admits an equilibrium. The theoretical results are applied to some cases of insurance claim distributions widely used in practice. An Appendix contains details and insights about some technical aspects of the paper.
reviewed by: Emilia Di Lorenzo
Mathematics Subject Classification ID: 91G05
Mathematics Subject Classification ID: 91A65
Mathematics Subject Classification ID: 91B43
zbMATH DE Number: 7226850
zbMATH Keywords: prevention
zbMATH Keywords: self-insurance
zbMATH Keywords: self-protection
zbMATH Keywords: coherent risk measures
zbMATH Keywords: Stackelberg game
MaRDI profile type: Publication
full work available at URL: j.insmatheco.2020.05.006
OpenAlex ID: W2919029365
cites work: Reinsurance
cites work: Coherent measures of risk
cites work: Monotone Comparative Statics under Uncertainty
cites work: Inf-convolution of risk measures and optimal risk transfer
cites work: ON A NEW PARADIGM OF OPTIMAL REINSURANCE: A STOCHASTIC STACKELBERG DIFFERENTIAL GAME BETWEEN AN INSURER AND A REINSURER
cites work: Risk-adjusted bowley reinsurance under distorted probabilities
cites work: Risk theory and reinsurance. Translated from the French by Urmie Ray
cites work: Optimal insurance without expected utility: The dual theory and the linearity of insurance contracts
cites work: Stochastic Finance
cites work: Stochastic finance. An introduction in discrete time.
cites work: Justifying the First-Order Approach to Principal-Agent Problems
cites work: Choosing Between Risky Prospects: The Characterization of Comparative Statics Results, and Location Independent Risk
cites work: Law invariant risk measures have the Fatou property
cites work: OPTIMAL RISK SHARING FOR LAW INVARIANT MONETARY UTILITY FUNCTIONS
cites work: Willingness to pay for risk reduction and risk aversion without the expected utility assumption
cites work: Risk aversion and self-insurance-cum-protection
cites work: Pareto optimal allocations and optimal risk sharing for quasiconvex risk measures
cites work: A Diamond-Stiglitz approach to the demand for self-protection
cites work: The Theory of Moral Hazard and Unobservable Behaviour: Part I
cites work: The First-Order Approach to Principal-Agent Problems
cites work: A Continuous-Time Version of the Principal–Agent Problem
cites work: Optimal insurance demand under marked point processes shocks.
DOI: 10.1016/J.INSMATHECO.2020.05.006
description: scientific article; zbMATH DE number 7226850