On the Optimal Design of Insurance Contracts with the Restriction of Equity Risk

In this paper, we focus on the optimal design of insurance contracts with the restriction of equity risk by Arrow's optimal insurance model and Zhou's optimal insurance model. 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 risks and investment risk simultaneously. We solve this problem and obtain the results which improve and extend the results given by Arrow and Zhou

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Year of publication:	2015
Authors:	Sun, Wujun
Other Persons:	Dong, Dandan (contributor)
Publisher:	[2015]: [S.l.] : SSRN
Subject:	Versicherungsökonomik \| Economics of insurance \| Risiko \| Risk \| Versicherung \| Insurance \| Vertrag \| Contract \| Vertragstheorie \| Contract theory

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