Optimal insurance with background risk: An analysis of general dependence structures
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DOI: 10.1007/s00780-020-00429-0
Abstract: In this paper, we consider an optimal insurance problem from the perspective of a risk-averse individual who faces an insurable risk as well as some background risk and wants to maximise the expected utility of… read more here.
Keywords: risk; background risk; general dependence; insurance ... See more keywords
Optimal insurance in the presence of multiple policyholders
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DOI: 10.1016/j.jebo.2020.02.012
Abstract: Abstract The literature on optimal insurance typically considers optimal risk sharing between one insurer (or reinsurer) and one insurance prospect. However, the insurance business is based on diversification benefits that arise when pooling many insurance… read more here.
Keywords: risk; presence multiple; insurance; multiple policyholders ... See more keywords