Prevention efforts, insurance demand and price incentives under coherent risk measures
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.
scientific article; zbMATH DE number 7226850
scientific article