Premium
Pareto‐Optimal Insurance Policies in the Models with a Premium Based on the Actuarial Value
Author(s) -
Golubin A. Y.
Publication year - 2006
Publication title -
journal of risk and insurance
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 1.055
H-Index - 63
eISSN - 1539-6975
pISSN - 0022-4367
DOI - 10.1111/j.1539-6975.2006.00184.x
Subject(s) - pareto optimal , pareto principle , economics , value (mathematics) , actuarial science , function (biology) , set (abstract data type) , econometrics , mathematics , computer science , statistics , operations management , evolutionary biology , biology , programming language
This article analyzes the problem of designing Pareto‐optimal insurance policies when both the insurer and the insured are risk averse and the premium is calculated as a function of the actuarial value of the insurer's risk. Two models are considered: in the first, the set of admissible policies is constrained by a given size of the premium; in the second, the premium size is not constrained so that it varies with the actuarial value of a policy chosen by the agents. For both cases a characterization of the Pareto‐optimal policies is derived. The corresponding optimality equations for the Pareto‐optimal policies are obtained and compared with the results on the classical risk exchange model.