Cahiers du CEREMADE

Unité Mixte de Recherche du C.N.R.S. N°7534
 
Abstract : We discuss the qualitative properties of efficient insurance contracts in the presence of background risk. In order to get results for all strictly risk averse expected utility maximizers, we use the concept of stochastic increasingness.  We show that different assumptions on the stochastic dependence between the insurable and uninsurable risk lead to different optimal contracts. We compare our results to the classical results in the absence of background risk or to the case of independent risks. The theory is further generalized to nonexpected utility maximizers.
 
 
OPTIMAL RISK SHARING WITH BACKGROUND RISK
DANA Rose-Anne, SCARSINI Marco
2004-52
04-10-2004
 
Université de PARIS - DAUPHINE
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