IDEAS home Printed from https://ideas.repec.org/a/eee/insuma/v35y2004i3p527-536.html
   My bibliography  Save this article

An extension of Arrow's result on optimality of a stop loss contract

Author

Listed:
  • Kaluszka, Marek

Abstract

No abstract is available for this item.

Suggested Citation

  • Kaluszka, Marek, 2004. "An extension of Arrow's result on optimality of a stop loss contract," Insurance: Mathematics and Economics, Elsevier, vol. 35(3), pages 527-536, December.
    • Handle: RePEc:eee:insuma:v:35:y:2004:i:3:p:527-536
    as

    Download full text from publisher

    File URL: http://www.sciencedirect.com/science/article/pii/S0167-6687(04)00071-X
    Download Restriction: Full text for ScienceDirect subscribers only
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    References listed on IDEAS

    as
    1. Borch, Karl, 1975. "Optimal Insurance Arrangements," ASTIN Bulletin, Cambridge University Press, vol. 8(3), pages 284-290, September.
    2. Berliner, B., 1977. "A Risk Measure Alternative to the Variance," ASTIN Bulletin, Cambridge University Press, vol. 9(1-2), pages 42-58, January.
    3. van Heerwaarden, A. E. & Kaas, R., 1992. "The Dutch premium principle," Insurance: Mathematics and Economics, Elsevier, vol. 11(2), pages 129-133, August.
    4. MOSSIN, Jan, 1968. "Aspects of rational insurance purchasing," LIDAM Reprints CORE 23, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
    5. Gajek, Leslaw & Zagrodny, Dariusz, 2004. "Optimal reinsurance under general risk measures," Insurance: Mathematics and Economics, Elsevier, vol. 34(2), pages 227-240, April.
    6. Christian S. Pedersen & Stephen E. Satchell, 1998. "An Extended Family of Financial-Risk Measures," The Geneva Risk and Insurance Review, Palgrave Macmillan;International Association for the Study of Insurance Economics (The Geneva Association), vol. 23(2), pages 89-117, December.
    7. Van Heerwaarden, A. E. & Kaas, R. & Goovaerts, M. J., 1989. "Optimal reinsurance in relation to ordering of risks," Insurance: Mathematics and Economics, Elsevier, vol. 8(1), pages 11-17, March.
    8. Kaluszka, Marek, 2001. "Optimal reinsurance under mean-variance premium principles," Insurance: Mathematics and Economics, Elsevier, vol. 28(1), pages 61-67, February.
    9. Kaluszka, Marek, 2004. "An Extension of the Gerber-Bühlmann-Jewell Conditions for Optimal Risk Sharing," ASTIN Bulletin, Cambridge University Press, vol. 34(1), pages 27-48, May.
    10. Sandrine Spaeter & Patrick Roger, 1997. "The Design of Optimal Insurance Contracts: A Topological Approach," The Geneva Risk and Insurance Review, Palgrave Macmillan;International Association for the Study of Insurance Economics (The Geneva Association), vol. 22(1), pages 5-19, June.
    11. Deprez, Olivier & Gerber, Hans U., 1985. "On convex principles of premium calculation," Insurance: Mathematics and Economics, Elsevier, vol. 4(3), pages 179-189, July.
    12. Gajek, Leslaw & Zagrodny, Dariusz, 2000. "Insurer's optimal reinsurance strategies," Insurance: Mathematics and Economics, Elsevier, vol. 27(1), pages 105-112, August.
    13. Ohlin, Jan, 1969. "On a class of measures of dispersion with application to optimal reinsurance," ASTIN Bulletin, Cambridge University Press, vol. 5(2), pages 249-266, May.
    14. Raviv, Artur, 1979. "The Design of an Optimal Insurance Policy," American Economic Review, American Economic Association, vol. 69(1), pages 84-96, March.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Chi, Yichun & Zhou, Xun Yu & Zhuang, Sheng Chao, 2024. "Variance insurance contracts," Insurance: Mathematics and Economics, Elsevier, vol. 115(C), pages 62-82.
    2. Ghossoub, Mario, 2019. "Budget-constrained optimal insurance without the nonnegativity constraint on indemnities," Insurance: Mathematics and Economics, Elsevier, vol. 84(C), pages 22-39.
    3. Lu, ZhiYi & Liu, LePing & Meng, ShengWang, 2013. "Optimal reinsurance with concave ceded loss functions under VaR and CTE risk measures," Insurance: Mathematics and Economics, Elsevier, vol. 52(1), pages 46-51.
    4. Cheung, K.C. & Chong, W.F. & Yam, S.C.P., 2015. "The optimal insurance under disappointment theories," Insurance: Mathematics and Economics, Elsevier, vol. 64(C), pages 77-90.
    5. Centeno, M.L. & Guerra, M., 2010. "The optimal reinsurance strategy -- the individual claim case," Insurance: Mathematics and Economics, Elsevier, vol. 46(3), pages 450-460, June.
    6. Bernard, Carole & Liu, Fangda & Vanduffel, Steven, 2020. "Optimal insurance in the presence of multiple policyholders," Journal of Economic Behavior & Organization, Elsevier, vol. 180(C), pages 638-656.
    7. Sung, K.C.J. & Yam, S.C.P. & Yung, S.P. & Zhou, J.H., 2011. "Behavioral optimal insurance," Insurance: Mathematics and Economics, Elsevier, vol. 49(3), pages 418-428.
    8. Zhu, Yunzhou & Zhang, Lixin & Zhang, Yi, 2013. "Optimal reinsurance under the Haezendonck risk measure," Statistics & Probability Letters, Elsevier, vol. 83(4), pages 1111-1116.
    9. Liyuan Lin & Fangda Liu & Jingzhen Liu abd Luyang Yu, 2023. "The optimal reinsurance strategy with price-competition between two reinsurers," Papers 2305.00509, arXiv.org.
    10. Cui, Wei & Yang, Jingping & Wu, Lan, 2013. "Optimal reinsurance minimizing the distortion risk measure under general reinsurance premium principles," Insurance: Mathematics and Economics, Elsevier, vol. 53(1), pages 74-85.
    11. Mi Chen & Wenyuan Wang & Ruixing Ming, 2016. "Optimal Reinsurance Under General Law-Invariant Convex Risk Measure and TVaR Premium Principle," Risks, MDPI, vol. 4(4), pages 1-12, December.

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Ghossoub, Mario, 2019. "Budget-constrained optimal insurance without the nonnegativity constraint on indemnities," Insurance: Mathematics and Economics, Elsevier, vol. 84(C), pages 22-39.
    2. Lu, ZhiYi & Meng, LiLi & Wang, Yujin & Shen, Qingjie, 2016. "Optimal reinsurance under VaR and TVaR risk measures in the presence of reinsurer’s risk limit," Insurance: Mathematics and Economics, Elsevier, vol. 68(C), pages 92-100.
    3. Chi, Yichun & Liu, Fangda, 2017. "Optimal insurance design in the presence of exclusion clauses," Insurance: Mathematics and Economics, Elsevier, vol. 76(C), pages 185-195.
    4. Chi, Yichun & Hu, Tao & Huang, Yuxia, 2023. "Optimal risk management with reinsurance and its counterparty risk hedging," Insurance: Mathematics and Economics, Elsevier, vol. 113(C), pages 274-292.
    5. Cheung, K.C. & Chong, W.F. & Yam, S.C.P., 2015. "The optimal insurance under disappointment theories," Insurance: Mathematics and Economics, Elsevier, vol. 64(C), pages 77-90.
    6. Zhou, Chunyang & Wu, Chongfeng, 2008. "Optimal insurance under the insurer's risk constraint," Insurance: Mathematics and Economics, Elsevier, vol. 42(3), pages 992-999, June.
    7. Kaluszka, Marek, 2005. "Optimal reinsurance under convex principles of premium calculation," Insurance: Mathematics and Economics, Elsevier, vol. 36(3), pages 375-398, June.
    8. Chi, Yichun & Zhou, Xun Yu & Zhuang, Sheng Chao, 2024. "Variance insurance contracts," Insurance: Mathematics and Economics, Elsevier, vol. 115(C), pages 62-82.
    9. Chi, Yichun, 2018. "Insurance choice under third degree stochastic dominance," Insurance: Mathematics and Economics, Elsevier, vol. 83(C), pages 198-205.
    10. Sung, K.C.J. & Yam, S.C.P. & Yung, S.P. & Zhou, J.H., 2011. "Behavioral optimal insurance," Insurance: Mathematics and Economics, Elsevier, vol. 49(3), pages 418-428.
    11. Zhou, Chunyang & Wu, Chongfeng & Zhang, Shengping & Huang, Xuejun, 2008. "An optimal insurance strategy for an individual under an intertemporal equilibrium," Insurance: Mathematics and Economics, Elsevier, vol. 42(1), pages 255-260, February.
    12. Boonen, Tim J. & Liu, Fangda, 2022. "Insurance with heterogeneous preferences," Journal of Mathematical Economics, Elsevier, vol. 102(C).
    13. Elisa Luciano, 1999. "A Note on Loadings and Deductibles: Can a Vicious Circle Arise?," Scandinavian Actuarial Journal, Taylor & Francis Journals, vol. 1999(2), pages 157-169.
    14. Lu, Zhiyi & Meng, Shengwang & Liu, Leping & Han, Ziqi, 2018. "Optimal insurance design under background risk with dependence," Insurance: Mathematics and Economics, Elsevier, vol. 80(C), pages 15-28.
    15. Sun, Haoze & Weng, Chengguo & Zhang, Yi, 2017. "Optimal multivariate quota-share reinsurance: A nonparametric mean-CVaR framework," Insurance: Mathematics and Economics, Elsevier, vol. 72(C), pages 197-214.
    16. Asimit, Alexandru V. & Chi, Yichun & Hu, Junlei, 2015. "Optimal non-life reinsurance under Solvency II Regime," Insurance: Mathematics and Economics, Elsevier, vol. 65(C), pages 227-237.
    17. Chi, Yichun & Zhuang, Sheng Chao, 2022. "Regret-based optimal insurance design," Insurance: Mathematics and Economics, Elsevier, vol. 102(C), pages 22-41.
    18. Cui, Wei & Yang, Jingping & Wu, Lan, 2013. "Optimal reinsurance minimizing the distortion risk measure under general reinsurance premium principles," Insurance: Mathematics and Economics, Elsevier, vol. 53(1), pages 74-85.
    19. Chi, Yichun & Tan, Ken Seng & Zhuang, Sheng Chao, 2020. "A Bowley solution with limited ceded risk for a monopolistic reinsurer," Insurance: Mathematics and Economics, Elsevier, vol. 91(C), pages 188-201.
    20. Balbás, Alejandro & Balbás, Beatriz & Heras, Antonio, 2009. "Optimal reinsurance with general risk measures," Insurance: Mathematics and Economics, Elsevier, vol. 44(3), pages 374-384, June.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:insuma:v:35:y:2004:i:3:p:527-536. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Catherine Liu (email available below). General contact details of provider: http://www.elsevier.com/locate/inca/505554 .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.