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A simple insurance model: optimal coverage and deductible

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  • Christopher Gaffney
  • Adi Ben-Israel

Abstract

An insurance model, with realistic assumptions about coverage, deductible and premium, is studied. Insurance is shown to decrease the variance of the cost to the insured, but increase the expected cost, a tradeoff that places our model in the Markowitz mean-variance model. Copyright Springer Science+Business Media New York 2016

Suggested Citation

  • Christopher Gaffney & Adi Ben-Israel, 2016. "A simple insurance model: optimal coverage and deductible," Annals of Operations Research, Springer, vol. 237(1), pages 263-279, February.
    • Handle: RePEc:spr:annopr:v:237:y:2016:i:1:p:263-279:10.1007/s10479-013-1469-2
    DOI: 10.1007/s10479-013-1469-2
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    References listed on IDEAS

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    6. Zhou, Chunyang & Wu, Wenfeng & Wu, Chongfeng, 2010. "Optimal insurance in the presence of insurer's loss limit," Insurance: Mathematics and Economics, Elsevier, vol. 46(2), pages 300-307, April.
    7. Wu, Desheng Dash & Olson, David L. & Birge, John R., 2011. "Introduction to special issue on "Enterprise risk management in operations"," International Journal of Production Economics, Elsevier, vol. 134(1), pages 1-2, November.
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    Cited by:

    1. Yinping You & Xiaohu Li & Rui Fang, 2021. "On coverage limits and deductibles for SAI loss severities," Annals of Operations Research, Springer, vol. 297(1), pages 341-357, February.

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