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Optimal insurance with background risk: An analysis of general dependence structures |
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| Authors: | Chi Yichun Wei Wei |
| Institution: | 1.China Institute for Actuarial Science, Central University of Finance and Economics, Beijing, 102206, China ;2.Department of Mathematical Sciences, University of Wisconsin-Milwaukee, Milwaukee, WI, 53211, USA ; |
| Abstract: | Finance and Stochastics - 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... |
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