Optimal insurance contract under VaR and CVaR constraints |
| |
| Affiliation: | 1. Department of Wealth and Taxation Management, National Kaohsiung University of Applied Sciences, No. 415, Chien-Kung Rd., Sanmin District, Kaohsiung City 80778, Taiwan;2. Department of Banking and Finance, National Chiayi University, No. 80, Sinmin Road, Chiayi City 60054, Taiwan;1. Department of Statistics and Actuarial Science, University of Waterloo, Waterloo, Ontario, N2L 3G1, Canada;2. Institute for Financial and Actuarial Mathematics, University of Liverpool, Peach Street, Liverpool, L69 7ZL, UK;1. School of Sciences, Hebei University of Technology, Tianjin 300401, PR China;2. Department of Mathematics, University of Michigan, Ann Arbor, MI, 48109, USA |
| |
| Abstract: | This study endogenously develops an optimal insurance contractual form for maximizing insured expected utility under VaR and CVaR constraints. We find that CVaR constraint does not affect the contractual form, but may increase minimum insurance premium requirement. Additionally, when the VaR constraint is binding, the optimal contract is a double deductible insurance. However, if the contract is restricted to a regular form (both indemnity schedule and retained loss schedule are continuously nondecreasing) for avoiding moral hazard problem, the optimal contract is a piecewise linear deductible insurance. Finally, we provide intuitive comparison between this study result and relevant studies. |
| |
| Keywords: | Optimal insurance VaR CVaR Piecewise linear deductible insurance Moral hazard |
| 本文献已被 ScienceDirect 等数据库收录！ |
|
