Optimal risk sharing with background risk

• 成果类型: Article
• 署名作者: Dana, Rose-Anne; Scarsini, Marco
• 署名单位: University of Turin; Universite PSL; Universite Paris-Dauphine
• 刊物名称: JOURNAL OF ECONOMIC THEORY
• ISSN/ISSBN: 0022-0531
• DOI: 10.1016/j.jet.2005.10.002
• 发表日期: 2007
• 页码: 152-176
• 关键词: insurance; efficient contracts; incomplete markets; stochastically increasing

摘要

This paper examines 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, the concept of stochastic increasingness is used. Different assumptions on the stochastic dependence between the insurable and uninsurable risk lead to different qualitative properties of the efficient contracts. The new results obtained under hypotheses of dependent risks are compared to classical results in the absence of background risk or to the case of independent risks. The theory is further generalized to nonexpected utility maximizers. (c) 2005 Elsevier Inc. All rights reserved.