English  |  正體中文  |  简体中文  |  Post-Print筆數 : 27 |  Items with full text/Total items : 91913/122132 (75%)
Visitors : 25837106      Online Users : 202
RC Version 6.0 © Powered By DSPACE, MIT. Enhanced by NTU Library IR team.
Scope Tips:
  • please add "double quotation mark" for query phrases to get precise results
  • please goto advance search for comprehansive author search
  • Adv. Search
    HomeLoginUploadHelpAboutAdminister Goto mobile version
    Please use this identifier to cite or link to this item: http://nccur.lib.nccu.edu.tw/handle/140.119/72647


    Title: Optimal insurance contract with stochastic background wealth
    Authors: Huang, Hung-Hsi;Shiu, Yung-Ming;Wang, Ching-Ping
    Contributors: 風管系
    Date: 2011-01
    Issue Date: 2015-01-07 16:54:26 (UTC+8)
    Abstract: This study presents an optimal insurance contract developed endogenously when insured individuals face two mutually dependent risks, background wealth and insurable loss. If background wealth is conditionally normally distributed given insurable loss, the optimal insurance contract may be proportional coinsurance above a straight deductible for a quadratic, negative exponential, or mean-variance utility function. Additionally, when the insured has a quadratic utility or mean-variance utility, the optimal retained schedule is a function of conditional expected value of background wealth given insurable loss. Moreover, the optimal insurance contracts for quadratic and negative exponential utility functions need not to be mean-variance efficient, even when the conditional normal distribution is assumed. Finally, when a portfolio problem is considered, the calculation about the optimal insurance contract remains almost unchanged.
    Relation: Scandinavian Actuarial Journal,2013(2), 119-139
    Data Type: article
    DOI 連結: http://dx.doi.org/10.1080/03461238.2011.574347
    DOI: 10.1080/03461238.2011.574347
    Appears in Collections:[風險管理與保險學系 ] 期刊論文

    Files in This Item:

    File Description SizeFormat
    119-139.pdf444KbAdobe PDF863View/Open


    All items in 政大典藏 are protected by copyright, with all rights reserved.


    社群 sharing

    著作權政策宣告
    1.本網站之數位內容為國立政治大學所收錄之機構典藏,無償提供學術研究與公眾教育等公益性使用,惟仍請適度,合理使用本網站之內容,以尊重著作權人之權益。商業上之利用,則請先取得著作權人之授權。
    2.本網站之製作,已盡力防止侵害著作權人之權益,如仍發現本網站之數位內容有侵害著作權人權益情事者,請權利人通知本網站維護人員(nccur@nccu.edu.tw),維護人員將立即採取移除該數位著作等補救措施。
    DSpace Software Copyright © 2002-2004  MIT &  Hewlett-Packard  /   Enhanced by   NTU Library IR team Copyright ©   - Feedback