Finding Pareto Optimal Insurance Contracts
This note deals with on-line computation or learning of Pareto optimal insurance contracts. We account for the fact that the loss distribution often is unknown, unavailable, or intractable. Alternatively, the contracting parties could be inexperienced. In both cases loses must be simulated or observed, one at a time, these causing iterated revision of the premium. The mechanical nature of probability calculus thus yields to more tentative procedure, possibly closer to how humans operate or reason in face of risk. Emphasized here is the remarkable simplicity and stability of the resulting procedures. Special attention goes to catastrophic risks and subsidized insurance.
|Date of creation:||Jun 2000|
|Date of revision:|
|Contact details of provider:|| Postal: |
Web page: http://www.iiasa.ac.at/Publications/Catalog/PUB_ONLINE.html
More information through EDIRC
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Ermoliev, Yuri M. & Norkin, Vladimir I., 1997. "On nonsmooth and discontinuous problems of stochastic systems optimization," European Journal of Operational Research, Elsevier, vol. 101(2), pages 230-244, September.
- Doherty, Neil A & Schlesinger, Harris, 1983. "Optimal Insurance in Incomplete Markets," Journal of Political Economy, University of Chicago Press, vol. 91(6), pages 1045-54, December.
- Raviv, Artur, 1979. "The Design of an Optimal Insurance Policy," American Economic Review, American Economic Association, vol. 69(1), pages 84-96, March.
When requesting a correction, please mention this item's handle: RePEc:wop:iasawp:ir00033. 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: (Thomas Krichel)
If references are entirely missing, you can add them using this form.