Optimal Insurance Under Random Auditing
We provide a characterization of an optimal insurance contract (coverage schedule and audit policy) when the monitoring procedure is random. When the policyholder exhibits constant absolute risk aversion, the optimal contract involves a positive indemnity payment with a deductible when the magnitude of damages exceeds a threshold.
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|Date of creation:||1998|
|Date of revision:|
|Contact details of provider:|| Postal: THEMA, Universite de Paris X-Nanterre, U.F.R. de science economiques, gestion, mathematiques et informatique, 200, avenue de la Republique 92001 Nanterre CEDEX.|
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- Fagart, M.-C. & Picard, P., 1998.
"Optimal Insurance Under Random Auditing,"
9808, Paris X - Nanterre, U.F.R. de Sc. Ec. Gest. Maths Infor..
- Marie-Cécile Fagart & Pierre Picard, 1998. "Optimal Insurance Under Random Auditing," Working Papers 98-47, Centre de Recherche en Economie et Statistique.
- M-C. Fagart & P. Picard, 1998. "Optimal insurance under random auditing," THEMA Working Papers 98-08, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise.
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CEPREMAP Working Papers (Couverture Orange)
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