Demand of Insurance under the Cost-of-Capital Premium Calculation Principle
We study the optimal insurance design problem. This is a risk sharing problem between an insured and an insurer. The main novelty in this paper is that we study this optimization problem under a risk-adjusted premium calculation principle for the insurance cover. This risk-adjusted premium calculati...
| Main Authors: | , |
|---|---|
| Format: | Article |
| Language: | English |
| Published: |
MDPI AG
2014-06-01
|
| Series: | Risks |
| Subjects: | |
| Online Access: | http://www.mdpi.com/2227-9091/2/2/226 |
| id |
doaj-c5fa7c6032b140a2b0b0c2b457248be9 |
|---|---|
| record_format |
Article |
| spelling |
doaj-c5fa7c6032b140a2b0b0c2b457248be92020-11-24T23:11:29ZengMDPI AGRisks2227-90912014-06-012222624810.3390/risks2020226risks2020226Demand of Insurance under the Cost-of-Capital Premium Calculation PrincipleMichael Merz0Mario V. Wüthrich1Department of Business Administration, University of Hamburg, 20146 Hamburg, GermanyRiskLab, Department of Mathematics, ETH Zurich, 8092 Zurich, SwitzerlandWe study the optimal insurance design problem. This is a risk sharing problem between an insured and an insurer. The main novelty in this paper is that we study this optimization problem under a risk-adjusted premium calculation principle for the insurance cover. This risk-adjusted premium calculation principle uses the cost-of-capital approach as it is suggested (and used) by the regulator and the insurance industry.http://www.mdpi.com/2227-9091/2/2/226demand of insuranceoptimal insurance designrisk-adjusted premiumcost-of-capital loadingdeductible and risk sharing |
| collection |
DOAJ |
| language |
English |
| format |
Article |
| sources |
DOAJ |
| author |
Michael Merz Mario V. Wüthrich |
| spellingShingle |
Michael Merz Mario V. Wüthrich Demand of Insurance under the Cost-of-Capital Premium Calculation Principle Risks demand of insurance optimal insurance design risk-adjusted premium cost-of-capital loading deductible and risk sharing |
| author_facet |
Michael Merz Mario V. Wüthrich |
| author_sort |
Michael Merz |
| title |
Demand of Insurance under the Cost-of-Capital Premium Calculation Principle |
| title_short |
Demand of Insurance under the Cost-of-Capital Premium Calculation Principle |
| title_full |
Demand of Insurance under the Cost-of-Capital Premium Calculation Principle |
| title_fullStr |
Demand of Insurance under the Cost-of-Capital Premium Calculation Principle |
| title_full_unstemmed |
Demand of Insurance under the Cost-of-Capital Premium Calculation Principle |
| title_sort |
demand of insurance under the cost-of-capital premium calculation principle |
| publisher |
MDPI AG |
| series |
Risks |
| issn |
2227-9091 |
| publishDate |
2014-06-01 |
| description |
We study the optimal insurance design problem. This is a risk sharing problem between an insured and an insurer. The main novelty in this paper is that we study this optimization problem under a risk-adjusted premium calculation principle for the insurance cover. This risk-adjusted premium calculation principle uses the cost-of-capital approach as it is suggested (and used) by the regulator and the insurance industry. |
| topic |
demand of insurance optimal insurance design risk-adjusted premium cost-of-capital loading deductible and risk sharing |
| url |
http://www.mdpi.com/2227-9091/2/2/226 |
| work_keys_str_mv |
AT michaelmerz demandofinsuranceunderthecostofcapitalpremiumcalculationprinciple AT mariovwuthrich demandofinsuranceunderthecostofcapitalpremiumcalculationprinciple |
| _version_ |
1725604127346524160 |