Optimal risk sharing with background risk
WebIn this paper, we examine the effect of background risk on portfolio selection and optimal reinsurance design under the criterion of maximizing the probability of reaching a goal. Following the literature, we adopt dependence uncertainty to model the dependence ambiguity between financial risk (or insurable risk) and background risk. WebJul 31, 2012 · Since Borch 1, many researchers have studied the optimal risk sharing rules between individuals and insurance companies. A well-established result comes from Arrow's 2 findings. He showed that full coverage will be optimal when the insurance companies are risk neutral and the premium is actuarially fair.
Optimal risk sharing with background risk
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WebApr 12, 2024 · The risk of ocular adverse events, such as redness of the eye, inflammation of different eye structures (keratitis, scleritis, uveitis) and visual impairment up to blindness has been observed mostly during the treatment of patients with PKDL in South Asia in both men and women, including in children under 18-year-old, and mostly beyond 28 days ... WebJun 16, 2009 · We study optimal risk sharing among n agents endowed with distortion risk measures. Our model includes market frictions that can either represent linear transaction costs or risk premia charged by a clearing house for the agents. Risk sharing under third-party constraints is also considered. We obtain an explicit formula for Pareto optimal …
WebMar 29, 2024 · When the insured has a general mean-variance preference, an explicit form of optimal insurance is derived explicitly. It is found that the stochastic dependence between … Webimate the optimal risk-sharing rule. For reasonable parameter con figurations, however, this approximation is a good fit for the numerically determined optimal risk-sharing rule. …
WebDec 24, 2012 · Moral hazard issues and alternative risk transfer mechanisms (securitization) are studied. We analyze the design of reinsurance contracts from a theoretical perspective, from the earlier study of Arrow to more realistic frameworks where background risk, counterparty risk, regulatory constraints and risk measures are taken into account. WebNov 1, 2007 · This points to a potential divergence between individual and collective portfolio choices in the presence of background risk. We show that if the members’ absolute risk tolerance is increasing and satisfies a strong form of concavity, then the group has standard risk aversion. ... we fully characterize the optimal risk-sharing rules. When ...
WebObjective: The aim of this review is to provide a summary of the literature on risk-sharing agreements, including conceptual, theoretical and empirical (number of agreements and their achievements) perspectives, and stakeholders' perceptions. Methods: We conducted a systematic literature search in MEDLINE from 2000 to April 2024, following PRISMA …
WebApr 25, 2024 · In this paper, we study an optimal insurance problem in the presence of background risk from the perspective of an insured with higher-order risk attitudes. We … earth day arts and crafts ideasWebFeb 18, 2024 · Coal workers are more likely to develop chronic obstructive pulmonary disease due to exposure to occupational hazards such as dust. In this study, a risk scoring system is constructed according to the optimal model to provide feasible suggestions for the prevention of chronic obstructive pulmonary disease in coal workers. Using 3955 coal … ctf easyuploadWebApr 11, 2024 · BackgroundThere are a variety of treatment options for recurrent platinum-resistant ovarian cancer, and the optimal specific treatment still remains to be determined. Therefore, this Bayesian network meta-analysis was conducted to investigate the optimal treatment options for recurrent platinum-resistant ovarian cancer.MethodsPubmed, … ctf easysqlWebOptimal risk-sharing between two parties was first analyzed by Borch (1962), in the context of a reinsurance problem. He considers an optimal contract to share risk between an … earth day best quotesWebMar 1, 2007 · Optimal risk sharing arrangements have been substantially studied in the literature, from the aspects of generalizing objective functions, incorporating more … earthday birthday 2022 vip ticketsWebIt is well-known that the presence of background risk in wealth has an effect on the demand for other risks. Several papers have considered different risk postures of decision makers … ctf easy uploadearthday birthday 2022 tickets