On the optimal design of insurance contracts with the restriction of equity risk |
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| Institution: | 1. Center for Energy Development and Environment Protection Strategy Research, Faculty of Science, Jiangsu University, Zhenjiang, Jiangsu 212013, China;2. School of Mathematical Sciences, Nanjing Normal University, Nanjing 210046, China;1. Department of Agricultural Economics, Humboldt-Universität zu Berlin, Germany;2. European Commission, Joint Research Centre, Institute for Prospective Technological Studies (IPTS), Spain;3. Institute of Agricultural Policy and Markets (420), Universität Hohenheim, 70593 Stuttgart, Germany;4. Institute of Applied Mathematics and Statistics (110), Universität Hohenheim, 70599 Stuttgart, Germany |
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| Abstract: | This paper focuses on the optimal design of insurance contracts with the restriction of equity risk by Arrow's optimal insurance model 2] and Zhou's optimal insurance model 4]. The insured aims to maximize his/her expected utility of terminal wealth, under the constraint that the insurer wishes to control his/her risk. We establish an optimal insurance model that restrains underwriting risk and investment risk simultaneously. We solve this problem and obtain the results which improve and extend the results given by Arrow 2] and Zhou 4]. |
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