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OPTIMAL INCENTIVE-COMPATIBLE INSURANCE WITH BACKGROUND RISK
ASTIN Bulletin: The Journal of the IAA ( IF 1.9 ) Pub Date : 2021-03-29 , DOI: 10.1017/asb.2021.7
Yichun Chi , Ken Seng Tan

In this paper, the optimal insurance design is studied from the perspective of an insured, who faces an insurable risk and a background risk. For the reduction of ex post moral hazard, alternative insurance contracts are asked to satisfy the principle of indemnity and the incentive-compatible condition. As in the literature, it is assumed that the insurer calculates the insurance premium solely on the basis of the expected indemnity. When the insured has a general mean-variance preference, an explicit form of optimal insurance is derived explicitly. It is found that the stochastic dependence between the background risk and the insurable risk plays a critical role in the insured’s risk transfer decision. In addition, the optimal insurance policy can often change significantly once the incentive-compatible constraint is removed.

中文翻译:

具有背景风险的最佳激励兼容保险

本文从被保险人的角度研究了最优保险设计,他面临可保风险和背景风险。为了减少事后道德风险,要求替代保险合同满足赔偿原则和激励相容条件。在文献中,假设保险公司仅根据预期赔偿来计算保险费。当被保险人具有一般的均值方差偏好时,会显式推导出最优保险的显式形式。研究发现,背景风险与可保风险之间的随机依赖性在被保险人的风险转移决策中起着至关重要的作用。此外,一旦消除了与激励相容的约束,最优保险政策通常会发生显着变化。
更新日期:2021-03-29
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