IDEAS home Printed from
   My bibliography  Save this article

Optimal insurance contract under a value-at-risk constraint


  • Hung-Hsi Huang

    (Department of Business Administration, Southern Taiwan University of Technology, No. 1, Nan-Tai Street, Yung-Kang, Taiwan, e-mail:


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 more realistic situation where the insured is risk averse. The study derives the optimal insurance contract as a single deductible insurance when the VaR constraint is redundant or as a double deductible insurance when the VaR constraint is binding. Finally, this study discusses the optimal coverage level from common forms of insurances, including deductible insurance, upper-limit insurance, and proportional coinsurance. The Geneva Risk and Insurance Review (2006) 31, 91–110. doi:10.1007/s10713-006-0557-5

Suggested Citation

  • Hung-Hsi Huang, 2006. "Optimal insurance contract under a value-at-risk constraint," The Geneva Risk and Insurance Review, Palgrave Macmillan;International Association for the Study of Insurance Economics (The Geneva Association), vol. 31(2), pages 91-110, December.
  • Handle: RePEc:pal:genrir:v:31:y:2006:i:2:p:91-110

    Download full text from publisher

    File URL:
    File Function: Link to full text PDF
    Download Restriction: Access to full text is restricted to subscribers.

    File URL:
    File Function: Link to full text HTML
    Download Restriction: Access to full text is restricted to subscribers.

    As the access to this document is restricted, you may want to search for a different version of it.


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

    Cited by:

    1. Sun, Haoze & Weng, Chengguo & Zhang, Yi, 2017. "Optimal multivariate quota-share reinsurance: A nonparametric mean-CVaR framework," Insurance: Mathematics and Economics, Elsevier, vol. 72(C), pages 197-214.
    2. Zhou, Chunyang & Wu, Chongfeng, 2008. "Optimal insurance under the insurer's risk constraint," Insurance: Mathematics and Economics, Elsevier, vol. 42(3), pages 992-999, June.
    3. Sun, Wujun & Dong, Dandan, 2015. "On the optimal design of insurance contracts with the restriction of equity risk," Economic Modelling, Elsevier, vol. 51(C), pages 646-652.
    4. Wang, Ching-Ping & Huang, Hung-Hsi, 2016. "Optimal insurance contract under VaR and CVaR constraints," The North American Journal of Economics and Finance, Elsevier, vol. 37(C), pages 110-127.
    5. Tan, Ken Seng & Weng, Chengguo & Zhang, Yi, 2011. "Optimality of general reinsurance contracts under CTE risk measure," Insurance: Mathematics and Economics, Elsevier, vol. 49(2), pages 175-187, September.
    6. Ching-Ping Wang & Hung-Hsi Huang, 2012. "Optimal insurance contract and coverage levels under loss aversion utility preference," Quantitative Finance, Taylor & Francis Journals, vol. 12(10), pages 1615-1628, October.
    7. J François Outreville, 2010. "The Geneva Risk and Insurance Review 2009: In Quest of Behavioural Insurance," The Geneva Papers on Risk and Insurance - Issues and Practice, Palgrave Macmillan;The Geneva Association, vol. 35(3), pages 484-497, July.

    More about this item


    Access and download statistics


    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:pal:genrir:v:31:y:2006:i:2:p:91-110. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Sonal Shukla) or (Rebekah McClure). General contact details of provider: .

    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.

    We have no references for this item. You can help adding them by using 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.

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

    IDEAS is a RePEc service hosted by the Research Division of the Federal Reserve Bank of St. Louis . RePEc uses bibliographic data supplied by the respective publishers.