Pareto‐Optimal Insurance Policies in the Models with a Premium Based on the Actuarial Value

A. Y. Golubin

Journal of Risk & Insurance, 2006, vol. 73, issue 3, 469-487

Abstract: 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.

Date: 2006
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Citations: View citations in EconPapers (14)

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Persistent link: https://EconPapers.repec.org/RePEc:bla:jrinsu:v:73:y:2006:i:3:p:469-487

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