A simple insurance model: optimal coverage and deductible

详细信息    查看全文

• 作者：Christopher Gaffney ; Adi Ben-Israel
• 关键词：Insurance ; Optimal coverage ; Deductible ; Markowitz mean ; variance model
• 刊名：Annals of Operations Research
• 出版年：2016
• 出版时间：February 2016
• 年：2016
• 卷：237
• 期：1-2
• 页码：263-279
• 全文大小：1,177 KB
• 参考文献：Arrow, K. (1974). Optimal insurance and generalized deductibles. Scandinavian Actuarial Journal, 1, 1–42. CrossRef
  Bortoluzzo, A. (2011). Estimating total claim size in the auto insurance industry: a comparison between Tweedie and zero-adjusted inverse Gaussian distribution. BAR, Brazilian Administration Review, Curitiba, 8(1). Available from http://​www.​scielo.​br/​scielo.​php , access on 09 Dec. 2012.
  Casualty Actuarial Society, Enterprise Risk Management Committee (2003). Overview of Enterprise Risk Management, May 2003.
  COSO (2004). Enterprise Risk Management-Integrated Framework Executive Summary, Committee of Sponsoring Organizations of the Treadway Commission.
  Cummins, J. D., & Mahul, O. (2004). The demand for insurance with an upper limit on coverage. The Journal of Risk and Insurance, 71, 253–264. CrossRef
  Dionne, G. (Ed.) (2000). Handbook of insurance. Boston: Kluwer Academic.
  Gollier, C., & Schlesinger, H. (1996). Arrow’s theorem on the optimality of deductibles: A stochastic dominance approach. Economic Theory, 7, 359–363.
  Hewitt, C. C. Jr., & Lefkowitz, B. (1979). Methods for fitting distributions to insurance loss data, in Proceedings of the casualty actuarial society, LXVI, pp. 139–160.
  Jorgensen, B., & De Souza, M. C. P. (1994). Fitting Tweedie’s compound Poisson model to insurance claims data. Scandinavian Actuarial Journal, 69–93.
  Machina, M. J. (1995). Non-expected utility and the robustness of the classical insurance paradigm. The Geneva Papers on Risk and Insurance Theory, 20, 9–50. CrossRef
  Markowitz, H. M. (1952). Portfolio selection. The Journal of Finance, 7, 77–91.
  Markowitz, H. M. (1959). Portfolio selection: efficient diversification of investments. New York: Wiley.
  New Jersey Auto Insurance Buyer’s Guide A-705(4/10) (2011)
  Olson, D. L., & Wu, D. (2010). Enterprise risk management models. Berlin: Springer. CrossRef
  Pashigian, B. P., Schkade, L. L., & Menefee, G. H. (1966). The selection of an optimal deductible for a given insurance policy. The Journal of Business, 39, 35–44. CrossRef
  Raviv, A. (1979). The design of an optimal insurance policy. The American Economic Review, 69, 84–96.
  Schlesinger, H. (1981). The optimal level of deductibility in insurance contracts. The Journal of Risk and Insurance, 48, 465–481. CrossRef
  Schlesinger, H. (1997). Insurance demand without the expected–utility paradigm. The Journal of Risk and Insurance, 64, 19–39. CrossRef
  Smith, V. (1968). Optimal insurance coverage. Journal of Political Economy, 76, 68–77. CrossRef
  Smyth, G. K., & Jorgensen, B. (2002). Fitting Tweedie’s compound Poisson model to insurance claims data: dispersion modeling. ASTIN Bulletin, 32, 143–157. CrossRef
  Wu, D., Olson, D., & Birge, J. (2011). Introduction to special issue on “Enterprise risk management in operations”. International Journal of Production Economics, 134, 1–2. CrossRef
  Zhou, C., Wu, W., & Wu, C. (2010). Optimal insurance in the presence of insurer’s loss limit. Insurance. Mathematics & Economics, 46, 300–307. CrossRef
  
• 作者单位：Christopher Gaffney (1)
  Adi Ben-Israel (2)
  
  1. Rutgers Center for Operations Research, New Brunswick, NJ, 08903-5062, USA
  2. Rutgers Center for Operations Research and School of Business, New Brunswick, NJ, 08903-5062, USA
  
• 刊物类别：Business and Economics
• 刊物主题：Economics
  Operation Research and Decision Theory
  Combinatorics
  Theory of Computation
  
• 出版者：Springer Netherlands
• ISSN：1572-9338

文摘

An insurance model, with realistic assumptions about coverage, deductible and premium, is studied. Insurance is shown to decrease the variance of the cost to the insured, but increase the expected cost, a tradeoff that places our model in the Markowitz mean-variance model.