Computing Optimal Insurance Contract in Closed System

2008 ◽  
Author(s):  
Vitali Kalesnik
Keyword(s):  
Closed System ◽  
Insurance Contract ◽  
Optimal Insurance

scholarly journals Incorporating model uncertainty into optimal insurance contract design

2017 ◽  
Vol 73 ◽  
pp. 68-74 ◽  
Author(s):  
Georg Ch. Pflug ◽  
Anna Timonina-Farkas ◽  
Stefan Hochrainer-Stigler
Keyword(s):  
Model Uncertainty ◽  
Contract Design ◽  
Insurance Contract ◽  
Optimal Insurance

Optimal insurance contract with stochastic background wealth

2013 ◽  
Vol 2013 (2) ◽  
pp. 119-139 ◽  
Author(s):  
Hung-Hsi Huang ◽  
Yung-Ming Shiu ◽  
Ching-Ping Wang
Keyword(s):  
Insurance Contract ◽  
Optimal Insurance ◽  
Stochastic Background

scholarly journals Optimal Insurance Arrangements

1975 ◽  
Vol 8 (3) ◽  
pp. 284-290 ◽  
Author(s):  
Karl Borch
Keyword(s):  
Insurance Contract ◽  
Stochastic Variable ◽  
Complete Coverage ◽  
Demand For Insurance ◽  
Optimal Insurance ◽  
Insurance Policies ◽  
Optimal Function ◽  
Initial Wealth ◽  
Image Position ◽  
Operational Formulation

In a recent paper on the theory of demand for insurance Arrow [1] has proved that the optimal policy for an insurance buyer is one which gives complete coverage, beyond a fixed deductible. The result is proved under very general assumptions, but its content can be illustrated by the following simple example.Assume that a person is exposed to a risk which can cause him a loss x, represented by a stochastic variable with the distribution F(x). Assume further that he by paying the premium P(y) can obtain an insurance contract which will guarantee him a compensation y(x), if his loss amounts to x. The problem of our person is to find the optimal insurance contract, i.e. the optimal function y(x), when the price is given by the functional P(y).In order to give an operational formulation to the problem we have outlined, we shall assume that the person's attitude to risk can be represented by a Bernoulli utility function u(x), and we shall write S for his “initial wealth”. His problem will then be to maximizewhen the functional P(y) is given, and y(x) є Y. The set Y can be interpreted as the set of insurance policies available in the market. It is, natural to assume that o ≤ y(x) ≤ x, but beyond this there is no need for assuming additional restrictions on the set Y.

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