Optimal Insurance Design Under a Value-at-Risk Framework
This study designs an optimal insurance policy form endogenously, assuming the objective of the insured is to maximize expected final wealth under the Value-at-Risk (VaR) constraint. The optimal insurance policy can be replicated using three options, including a long call option with a small strike price, a short call option with a large strike price, and a short cash-or-nothing call option. Additionally, this study also calculates the optimal insurance levels for these models when we restrict the indemnity to be one of three common forms: a deductible policy, an upper-limit policy, or a policy with proportional coinsurance. The Geneva Risk and Insurance Review (2005) 30, 161–179. doi:10.1007/s10713-005-4677-0
Year of publication: |
2005
|
---|---|
Authors: | Wang, Ching-Ping ; Shyu, David ; Huang, Hung-Hsi |
Published in: |
The Geneva Risk and Insurance Review. - Palgrave Macmillan, ISSN 1554-964X. - Vol. 30.2005, 2, p. 161-179
|
Publisher: |
Palgrave Macmillan |
Saved in:
Online Resource
Saved in favorites
Similar items by person
-
Optimal Insurance Design Under a Value-at-Risk Framework
Wang, Ching-Ping, (2005)
-
Optimal insurance design under a value-at-risk framework
Wang, Ching-Ping, (2005)
-
DOES CORPORATE GOVERNANCE AFFECT INSTITUTIONAL OWNERSHIP AND SHARE REPURCHASE DECISIONS?
Huang, Hung-Hsi, (2010)
- More ...