Captive insurance companies and the management of non-conventional corporate risks
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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- 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;International Association for the Study of Insurance Economics (The Geneva Association), vol. 26(3), pages 195-224, December.
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