Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/103596
Authors: 
Merz, Michael
Wüthrich, Mario V.
Year of Publication: 
2014
Citation: 
[Journal:] Risks [ISSN:] 2227-9091 [Publisher:] MDPI [Place:] Basel [Volume:] 2 [Year:] 2014 [Issue:] 2 [Pages:] 226-248
Abstract: 
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.
Subjects: 
demand of insurance
optimal insurance design
risk-adjusted premium
cost-of-capital loading
deductible and risk sharing
Persistent Identifier of the first edition: 
Creative Commons License: 
http://creativecommons.org/licenses/by/3.0/
Document Type: 
Article
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