Zhou, Chunyang; Wu, Wenfeng; Wu, Chongfeng - In: Insurance: Mathematics and Economics 46 (2010) 2, pp. 300-307
In this paper we consider the optimal insurance problem when the insurer has a loss limit constraint. Under the assumptions that the insurance price depends only on the policy's actuarial value, and the insured seeks to maximize the expected utility of his terminal wealth, we show that coverage...