In the literature on optimal indemnity schedules, indemnities are usually restricted to be non-negative. Keeler [1974] and Gollier [1987] show that this constraint might well bind: insured could get higher expected utility if insurance contracts would allow payments from the insured to the...

This paper investigates the effect of adverse selection on the private annuity market in a model with two periods of retirement and two types of individuals, who differ in their life expectancy. In order to introduce the existence of time-limited pension insurance, we consider a model where for...

This study develops an optimal insurance contract endogenously under a value-at-risk (VaR) constraint. Although Wang et al. [2005] had examined this problem, their assumption implied that the insured is risk neutral. Consequently, this study extends Wang et al. [2005] and further considers a...

We show that differences in market participants risk aversion can generate herd behavior in stock markets where assets are traded sequentially. This in turn prevents learning of market’s fundamentals. These results are obtained without introducing multidimensional uncertainty or transaction...

This paper discusses optimal insurance contract for irreplaceable commodities. To describe the dual impacts on individuals when a loss occurs to the insured irreplaceable commodities, we use a state-dependent and bivariate utility function, which includes both the monetary wealth and sentimental...

The ICAPM is used to study the underwriting profit margin of the P/L insurance company, including the insurances of automobile damage, automobile liability and fire, in which the parameters are the symmetric or non-symmetric triangular fuzzy numbers. From the ten-year data of a company in Taiwan...

This note provides an example of an optimal banking panic. We construct a model in which a banking panic is triggered by the banker, not the depositors. When the banker receives a pessimistic information on the return on the bank’s assets, he liquidates them prematurely in order to protect his...

For standard irreversibility theory the prospect of acquiring better information in the future should induce more flexible decisions: the “irreversibility effect”. This result relies on the definition of an irreversible position as one that would be technically or economically impossible to...

Pratt [1964] establishes that a more risk-averse individual in the Arrow-Pratt sense has a higher compensating risk premium for full insurance, but no comparable result has been established for partial insurance. Ross [1981] shows that a more risk-averse individual in the Arrow-Pratt sense may...

In this paper I extend the literature related with the newsboy model by analyzing the effect on orders of changes in risk and price. I show that risk aversion is necessary and sufficient condition for the newsboy to decrease orders when the demand suffers an FSD deterioration in risk, and...