Article citationsMore>>

Cai, J., Lemieux, C., & Liu, F. (2015). Optimal Reinsurance from the Perspectives of both an Insurer and a Reinsurer. ASTIN Bulletin, 46, 815-849.
https://doi.org/10.1017/asb.2015.23

has been cited by the following article:

• TITLE: Optimal Insurance Design under Different Dependency Structures of Insurable Risk and Background Risk

  AUTHORS: Xiaohan Wang

  KEYWORDS: Optimal Insurance, Background Risk, Stop-Loss Order, Stochastic Order

  JOURNAL NAME: Journal of Financial Risk Management, Vol.13 No.3, August 16, 2024

  ABSTRACT: In this paper, we consider the optimal insurance by minimizing the total loss of the insured under stop-loss order when the insured faces insurable risk as well as background risk. To depict the relationship between insurable risk and background risk, we apply stochastic orders proposed by Shaked and Shanthikumar (2007) to model positive or negative dependence. We derive the optimal contract forms under different dependence structures between insurable risk and background risk. We give the optimal insurance strategies when the sum of the insurable risk and background risk is stochastically decreasing or increasing in background risk. Furthermore, we consider the optimal insurance strategy under different dependence structures under two insurable risks and a single background risk.