Optimal Insurance Contract under CVAR Constraint

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题名:	Optimal Insurance Contract under CVAR Constraint
作者:	Huang, Hung-Hsi;Wang, Ching-Ping
贡献者:	Department of Banking and Finance,National Chiayi University;Kaohsiung University of Applied Sciences
关键词:	Optimal insurance contract;double deductible insurance;VaR;CVaR.
日期:	2013
上传时间:	2013-08-07 01:35:18 (UTC+0)
摘要:	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.
關聯:	2013中部學術財金研討會論文發表
显示于类别:	[財務金融學系] 會議論文

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