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Persistent link: https://www.econbiz.de/10003203873
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...
Persistent link: https://www.econbiz.de/10005142384
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...
Persistent link: https://www.econbiz.de/10005722859
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...
Persistent link: https://www.econbiz.de/10005722863
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...
Persistent link: https://www.econbiz.de/10005091562
Persistent link: https://www.econbiz.de/10005213509
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