Huang, Hung-Hsi - In: The Geneva Papers on Risk and Insurance Theory 31 (2006) 2, pp. 91-110
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...