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Captive insurance companies and the management of non-conventional corporate risks

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  • Lesourd, Jean-Baptiste
  • Schilizzi, Steven
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    Abstract

    We examine under what conditions setting up a captive insurance company with reinsurance is an optimal solution for risk-averse firms when the insured firm, the insurer and the reinsurer do not know the probability distribution of some risks, and have conflicting estimates of this distribution.

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    File URL: http://purl.umn.edu/100886
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    Bibliographic Info

    Paper provided by University of Western Australia, School of Agricultural and Resource Economics in its series Working Papers with number 100886.

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    Date of creation: 22 Feb 2011
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    Handle: RePEc:ags:uwauwp:100886

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    Related research

    Keywords: corporate insurance; reinsurance; uncertainty; ambiguity; non-conventional risks; captive insurance companies; Risk and Uncertainty; D81; G22; Q2;

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    1. Carmela Di Mauro & Anna Maffioletti, 2001. "The Valuation of Insurance under Uncertainty: Does Information about Probability Matter?," The Geneva Risk and Insurance Review, Palgrave Macmillan, vol. 26(3), pages 195-224, December.
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