This study develops an optimal insurance form under the insured’s and insurer’s
CVaR constraints, respectively. Since CVaR value is based on calculated VaR value,
the developed insurance contacts simultaneously meet the VaR and CVaR constraints.
This study finds that the insurance contractual forms with the insured’s VaR and
CVaR constraints are analogous to the insurer’s ones. Additionally, the possible
contractual forms have two categories. The first is a standard deductible insurance
where the VaR and CVaR constraints are not binding. The next category contains a
double deductible insurance and its four degenerative forms.
