IDEAS home Printed from https://ideas.repec.org/a/eee/insuma/v17y1995i2p133-147.html

Optimal per claim deductibility in insurance with the possibility of risky investments

Author

Listed:
  • Paulsen, Jostein

Abstract

No abstract is available for this item.

Suggested Citation

  • Paulsen, Jostein, 1995. "Optimal per claim deductibility in insurance with the possibility of risky investments," Insurance: Mathematics and Economics, Elsevier, vol. 17(2), pages 133-147, October.
    • Handle: RePEc:eee:insuma:v:17:y:1995:i:2:p:133-147
    as

    Download full text from publisher

    File URL: http://www.sciencedirect.com/science/article/pii/0167-6687(95)00016-L
    Download Restriction: Full text for ScienceDirect subscribers only
    ---><---

    As the access to this document is restricted, you may want to

    for a different version of it.

    References listed on IDEAS

    as
    1. Paulsen, Jostein & Gjessing, Hakon, 1994. "Properties of functions of the excess of loss retention limit with applications," Insurance: Mathematics and Economics, Elsevier, vol. 15(1), pages 1-21, October.
    2. MOSSIN, Jan, 1968. "Aspects of rational insurance purchasing," LIDAM Reprints CORE 23, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
    3. Kimball, Miles S, 1993. "Standard Risk Aversion," Econometrica, Econometric Society, vol. 61(3), pages 589-611, May.
    4. Kihlstrom, Richard E & Romer, David & Williams, Steve, 1981. "Risk Aversion with Random Initial Wealth," Econometrica, Econometric Society, vol. 49(4), pages 911-920, June.
    5. Aase, Knut K., 1993. "Equilibrium in a Reinsurance Syndicate; Existence, Uniqueness and Characterization," ASTIN Bulletin, Cambridge University Press, vol. 23(2), pages 185-211, November.
    6. Briys, Eric P., 1985. "Investment portfolio behavior of non-life insurers: A utility analysis," Insurance: Mathematics and Economics, Elsevier, vol. 4(2), pages 93-98, April.
    7. Cass, David & Stiglitz, Joseph E., 1970. "The structure of investor preferences and asset returns, and separability in portfolio allocation: A contribution to the pure theory of mutual funds," Journal of Economic Theory, Elsevier, vol. 2(2), pages 122-160, June.
    8. Andreadakis, M. & Waters, H. R., 1980. "The Effect of Reinsurance on the Degree of Risk Associated with an Insurer's Portfolio," ASTIN Bulletin, Cambridge University Press, vol. 11(2), pages 119-135, December.
    9. Pratt, John W, 1988. "Aversion to One Risk in the Presence of Others," Journal of Risk and Uncertainty, Springer, vol. 1(4), pages 395-413, December.
    10. Kimball, Miles S, 1990. "Precautionary Saving in the Small and in the Large," Econometrica, Econometric Society, vol. 58(1), pages 53-73, January.
    11. Doherty, Neil A & Schlesinger, Harris, 1983. "The Optimal Deductible for an Insurance Policy When Initial Wealth Is Random," The Journal of Business, University of Chicago Press, vol. 56(4), pages 555-565, October.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Cohen Alma, 2006. "The Disadvantages of Aggregate Deductibles," The B.E. Journal of Economic Analysis & Policy, De Gruyter, vol. 6(1), pages 1-28, April.

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Sebastian Hinck & Petra Steinorth, 2023. "Insurance demand in the presence of loss‐dependent background risk," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 90(4), pages 991-1026, December.
    2. Franke, Gunter & Stapleton, Richard C. & Subrahmanyam, Marti G., 1998. "Who Buys and Who Sells Options: The Role of Options in an Economy with Background Risk," Journal of Economic Theory, Elsevier, vol. 82(1), pages 89-109, September.
    3. Franke, Günter & Stapleton, Richard C. & Subrahmanyam, Marti G., 1995. "Who buys and who sells options: The role and pricing of options in an economy with background risk," Discussion Papers, Series II 253, University of Konstanz, Collaborative Research Centre (SFB) 178 "Internationalization of the Economy".
    4. Günter Franke & Harris Schlesinger & Richard C. Stapleton, 2006. "Multiplicative Background Risk," Management Science, INFORMS, vol. 52(1), pages 146-153, January.
    5. Georges Dionne & Scott Harrington, 2017. "Insurance and Insurance Markets," Working Papers 17-2, HEC Montreal, Canada Research Chair in Risk Management.
    6. Caballe, Jordi & Pomansky, Alexey, 1997. "Complete monotonicity, background risk, and risk aversion," Mathematical Social Sciences, Elsevier, vol. 34(3), pages 205-222, October.
    7. Ilia Tsetlin & Robert L. Winkler, 2005. "Risky Choices and Correlated Background Risk," Management Science, INFORMS, vol. 51(9), pages 1336-1345, September.
    8. repec:dau:papers:123456789/698 is not listed on IDEAS
    9. Huang, James, 2014. "Convex and decreasing absolute risk aversion is proper," Economics Letters, Elsevier, vol. 125(1), pages 123-125.
    10. Christophe Courbage & Henri Loubergé & Richard Peter, 2017. "Optimal Prevention for Multiple Risks," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 84(3), pages 899-922, September.
    11. Kimball, Miles S, 1993. "Standard Risk Aversion," Econometrica, Econometric Society, vol. 61(3), pages 589-611, May.
    12. Luigi Guiso & Tullio Jappelli, 1998. "Background Uncertainty and the Demand for Insurance Against Insurable Risks," The Geneva Risk and Insurance Review, Palgrave Macmillan;International Association for the Study of Insurance Economics (The Geneva Association), vol. 23(1), pages 7-27, June.
    13. Chi, Yichun & Tan, Ken Seng & Zhuang, Sheng Chao, 2020. "A Bowley solution with limited ceded risk for a monopolistic reinsurer," Insurance: Mathematics and Economics, Elsevier, vol. 91(C), pages 188-201.
    14. Michel Denuit & Louis Eeckhoudt & Mario Menegatti, 2011. "Correlated risks, bivariate utility and optimal choices," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 46(1), pages 39-54, January.
    15. Dana, Rose-Anne & Scarsini, Marco, 2007. "Optimal risk sharing with background risk," Journal of Economic Theory, Elsevier, vol. 133(1), pages 152-176, March.
    16. James Huang & Richard Stapleton, 2017. "Higher-order risk vulnerability," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 63(2), pages 387-406, February.
    17. Broll, Udo & Wong, Kit Pong, 2003. "Capital structure and the firm under uncertainty," Dresden Discussion Paper Series in Economics 20/03, Technische Universität Dresden, Faculty of Business and Economics, Department of Economics.
    18. Weil, Philippe, 1992. "Equilibrium asset prices with undiversifiable labor income risk," Journal of Economic Dynamics and Control, Elsevier, vol. 16(3-4), pages 769-790.
    19. Sévi, Benoît, 2010. "The newsvendor problem under multiplicative background risk," European Journal of Operational Research, Elsevier, vol. 200(3), pages 918-923, February.
    20. Wong, Kit Pong, 2017. "Production and hedging under state-dependent preferences and background risk," International Review of Economics & Finance, Elsevier, vol. 51(C), pages 527-534.
    21. Kit Pong Wong, 2022. "Production and hedging under correlated price and background risks," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 45(1), pages 241-256, June.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:insuma:v:17:y:1995:i:2:p:133-147. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Catherine Liu (email available below). General contact details of provider: http://www.elsevier.com/locate/inca/505554 .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.