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Portfolio Decisions and the Deductible for an Insurance Policy

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키워드

주제분류경영학

초록

This paper derives the optimal level of deductibles for non-life insurance policies and asset allocation when the asset market and the insurable market are integrated through a common risk factor. Thus the demand for insurance is modeled jointly with portfolio decisions. By allowing the insurable asset and the marketable security to share a common risk factor we find that the optimal insurance demand is not separable from portfolio decisions.

Abstract

This paper derives the optimal level of deductibles for non-life insurance policies and asset allocation when the asset market and the insurable market are integrated through a common risk factor. Thus the demand for insurance is modeled jointly with portfolio decisions. By allowing the insurable asset and the marketable security to share a common risk factor we find that the optimal insurance demand is not separable from portfolio decisions.

참고문헌 (28)

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