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Article: Pareto-optimal insurance contracts with premium budget and minimum charge constraints

TitlePareto-optimal insurance contracts with premium budget and minimum charge constraints
Authors
Asimit, AVCheung, KCChong, WFHu, J
KeywordsBargaining power
Minimum charge
Optimal insurance contract design
Pareto optimality
Premium budget
Issue Date2020
PublisherElsevier BV. The Journal's web site is located at http://www.elsevier.com/locate/ime
Citation
Insurance: Mathematics and Economics, 2020, v. 95, p. 17-27 How to Cite?
DOI: http://dx.doi.org/10.1016/j.insmatheco.2020.08.001
AbstractIn view of the fact that minimum charge and premium budget constraints are natural economic considerations in any risk-transfer between the insurance buyer and seller, this paper revisits the optimal insurance contract design problem in terms of Pareto optimality with imposing these practical constraints. Pareto optimal insurance contracts, with indemnity schedule and premium payment, are solved in the cases when the risk preferences of the buyer and seller are given by Value-at-Risk or Tail Value-at-Risk. The effect of our constraints and the relative bargaining powers of the buyer and seller on the Pareto optimal insurance contracts are highlighted. Numerical experiments are employed to further examine these effects for some given risk preferences.
Persistent Identifierhttp://hdl.handle.net/10722/289497
ISSN
0167-6687
2021 Impact Factor: 2.168
2020 SCImago Journal Rankings: 1.139
ISI Accession Number ID
WOS:000589857600002

 

DC FieldValueLanguage
dc.contributor.authorAsimit, AV-
dc.contributor.authorCheung, KC-
dc.contributor.authorChong, WF-
dc.contributor.authorHu, J-
dc.date.accessioned2020-10-22T08:13:30Z-
dc.date.available2020-10-22T08:13:30Z-
dc.date.issued2020-
dc.identifier.citationInsurance: Mathematics and Economics, 2020, v. 95, p. 17-27-
dc.identifier.issn0167-6687-
dc.identifier.urihttp://hdl.handle.net/10722/289497-
dc.description.abstractIn view of the fact that minimum charge and premium budget constraints are natural economic considerations in any risk-transfer between the insurance buyer and seller, this paper revisits the optimal insurance contract design problem in terms of Pareto optimality with imposing these practical constraints. Pareto optimal insurance contracts, with indemnity schedule and premium payment, are solved in the cases when the risk preferences of the buyer and seller are given by Value-at-Risk or Tail Value-at-Risk. The effect of our constraints and the relative bargaining powers of the buyer and seller on the Pareto optimal insurance contracts are highlighted. Numerical experiments are employed to further examine these effects for some given risk preferences.-
dc.languageeng-
dc.publisherElsevier BV. The Journal's web site is located at http://www.elsevier.com/locate/ime-
dc.relation.ispartofInsurance: Mathematics and Economics-
dc.subjectBargaining power-
dc.subjectMinimum charge-
dc.subjectOptimal insurance contract design-
dc.subjectPareto optimality-
dc.subjectPremium budget-
dc.titlePareto-optimal insurance contracts with premium budget and minimum charge constraints-
dc.typeArticle-
dc.identifier.emailCheung, KC: kccg@hku.hk-
dc.identifier.authorityCheung, KC=rp00677-
dc.description.naturelink_to_subscribed_fulltext-
dc.identifier.doi10.1016/j.insmatheco.2020.08.001-
dc.identifier.scopuseid_2-s2.0-85090034773-
dc.identifier.hkuros316332-
dc.identifier.volume95-
dc.identifier.spage17-
dc.identifier.epage27-
dc.identifier.isiWOS:000589857600002-
dc.publisher.placeNetherlands-
dc.identifier.issnl0167-6687-

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