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

Author

Listed:
  • Lesourd, Jean-Baptiste
  • Schilizzi, Steven

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.

Suggested Citation

  • Lesourd, Jean-Baptiste & Schilizzi, Steven, 2011. "Captive insurance companies and the management of non-conventional corporate risks," Working Papers 100886, University of Western Australia, School of Agricultural and Resource Economics.
  • Handle: RePEc:ags:uwauwp:100886
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    File URL: http://purl.umn.edu/100886
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    References listed on IDEAS

    as
    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;International Association for the Study of Insurance Economics (The Geneva Association), vol. 26(3), pages 195-224, December.
    Full references (including those not matched with items on IDEAS)

    More about this item

    Keywords

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

    JEL classification:

    • D81 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Criteria for Decision-Making under Risk and Uncertainty
    • G22 - Financial Economics - - Financial Institutions and Services - - - Insurance; Insurance Companies; Actuarial Studies
    • Q2 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Renewable Resources and Conservation

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