A note on Mossin’s theorem for deductible insurance given random initial wealth

Liang Hong

Scandinavian Actuarial Journal, 2018, vol. 2018, issue 5, 404-411

Abstract: Mossin’s theorem for deductible insurance given random initial wealth is re-examined. For a fair premium, it is shown that a necessary and sufficient condition, in the spirit of the Generalized Mossin Theorem for coinsurance, is impossible using the notion of expectation dependence. Next, it is established that for a fair premium, full insurance will be optimal for a risk-averse individual if the random loss and the random initial wealth are negative quadrant dependent, improving upon an extant result in the literature. In view of a set of examples given in this paper, such a sufficient condition cannot be obtained using the notion of expectation dependence. Finally, for an unfair premium, it is shown that partial insurance will always be optimal, irrespective of the risk preference of the individual as well as the dependence structure between the random loss and the random initial wealth.

Date: 2018
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DOI: 10.1080/03461238.2017.1365758

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