Some new results about optimal insurance demand under uncertainty

Baoan Huang, Jianjun Miao, Zongliang Zhang and Dianbo Zhao

Finance Research Letters, 2016, vol. 17, issue C, 280-284

Abstract: The aim of this paper is to investigate the optimal insurance demand of a risk-averse agent who is faced with background uncertainty. The preferences of the agent are represented by two-moment, mean-standard deviation utility functions. By the comparative statics, we find that under the assumption of decreasing absolute risk aversion (DARA), the changes of background uncertainty have effects on optimal insurance demand.

Keywords: Background uncertainty; Decreasing absolute risk aversion; (μ,σ) preferences; Optimal insurance demand (search for similar items in EconPapers)
JEL-codes: D11 D81 G22 (search for similar items in EconPapers)
Date: 2016
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:17:y:2016:i:c:p:280-284

DOI: 10.1016/j.frl.2016.03.026

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