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Journal articles
Optimal risk sharing with background risk
Abstract : This paper examines qualitative properties of efficient insurance contracts in the presence of background risk. In order to get results for all strictly risk-averse expected utility maximizers, the concept of “stochastic increasingness” is used. Different assumptions on the stochastic dependence between the insurable and uninsurable risk lead to different qualitative properties of the efficient contracts. The new results obtained under hypotheses of dependent risks are compared to classical results in the absence of background risk or to the case of independent risks. The theory is further generalized to nonexpected utility maximizers.
https://hal-hec.archives-ouvertes.fr/hal-00538974
Contributor : Antoine Haldemann <>
Submitted on : Tuesday, November 23, 2010 - 4:09:31 PM
Last modification on : Wednesday, February 19, 2020 - 8:52:52 AM
Contributor : Antoine Haldemann <>
Submitted on : Tuesday, November 23, 2010 - 4:09:31 PM
Last modification on : Wednesday, February 19, 2020 - 8:52:52 AM
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