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Optimal per claim deductibility in insurance with the possibility of risky investments

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  • Paulsen, Jostein

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  • Paulsen, Jostein, 1995. "Optimal per claim deductibility in insurance with the possibility of risky investments," Insurance: Mathematics and Economics, Elsevier, vol. 17(2), pages 133-147, October.
    • Handle: RePEc:eee:insuma:v:17:y:1995:i:2:p:133-147
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    References listed on IDEAS

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    1. Kimball, Miles S, 1990. "Precautionary Saving in the Small and in the Large," Econometrica, Econometric Society, vol. 58(1), pages 53-73, January.
    2. Andreadakis, M. & Waters, H. R., 1980. "The Effect of Reinsurance on the Degree of Risk Associated with an Insurer's Portfolio," ASTIN Bulletin, Cambridge University Press, vol. 11(2), pages 119-135, December.
    3. Pratt, John W, 1988. "Aversion to One Risk in the Presence of Others," Journal of Risk and Uncertainty, Springer, vol. 1(4), pages 395-413, December.
    4. Doherty, Neil A & Schlesinger, Harris, 1983. "The Optimal Deductible for an Insurance Policy When Initial Wealth Is Random," The Journal of Business, University of Chicago Press, vol. 56(4), pages 555-565, October.
    5. Paulsen, Jostein & Gjessing, Hakon, 1994. "Properties of functions of the excess of loss retention limit with applications," Insurance: Mathematics and Economics, Elsevier, vol. 15(1), pages 1-21, October.
    6. MOSSIN, Jan, 1968. "Aspects of rational insurance purchasing," LIDAM Reprints CORE 23, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
    7. Kimball, Miles S, 1993. "Standard Risk Aversion," Econometrica, Econometric Society, vol. 61(3), pages 589-611, May.
    8. Kihlstrom, Richard E & Romer, David & Williams, Steve, 1981. "Risk Aversion with Random Initial Wealth," Econometrica, Econometric Society, vol. 49(4), pages 911-920, June.
    9. Aase, Knut K., 1993. "Equilibrium in a Reinsurance Syndicate; Existence, Uniqueness and Characterization," ASTIN Bulletin, Cambridge University Press, vol. 23(2), pages 185-211, November.
    10. Briys, Eric P., 1985. "Investment portfolio behavior of non-life insurers: A utility analysis," Insurance: Mathematics and Economics, Elsevier, vol. 4(2), pages 93-98, April.
    11. Cass, David & Stiglitz, Joseph E., 1970. "The structure of investor preferences and asset returns, and separability in portfolio allocation: A contribution to the pure theory of mutual funds," Journal of Economic Theory, Elsevier, vol. 2(2), pages 122-160, June.
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    Cited by:

    1. Cohen Alma, 2006. "The Disadvantages of Aggregate Deductibles," The B.E. Journal of Economic Analysis & Policy, De Gruyter, vol. 6(1), pages 1-28, April.

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