Il giorno martedì 30 maggio alle ore 17.30, presso la Aula
Seminari del DISMEQ al IV piano dell'edificio U7, Fangda Liu, Assistant
Professor al China Institute for Actuarial Science, terrà un seminario su
Optimal Insurance Design in the Presence of Exclusion Clauses
ABSTRACT
The present work studies the design of an optimal insurance policy from
the perspective of an insured, where the insurable loss is mutually
exclusive from another loss that is denied in the insurance coverage. To
reduce ex post moral hazard, we assume that both the insured and the
insurer would pay more for a larger realization of the insurable loss.
When the insurance premium principle preserves the convex order, we show
that any admissible insurance contract is suboptimal to a two-layer
insurance policy under the criterion of minimizing the insured's
total risk exposure quantified by value at risk, tail value at risk or an
expectile. The form of optimal insurance can be further simplified to be
one-layer by imposing an additional weak condition on the premium
principle. Finally, we use Wang's premium principle and the expected
value premium principle to illustrate the applicability of our results,
and find that optimal insurance solutions are affected not only by the
size of the excluded loss but also by the risk measure chosen to quantify
the insured's risk exposure.
Tutti gli interessati sono invitati a partecipare.
Prof. Fabio Bellini
Department of Statistics and Quantitative Methods
University of Milano-Bicocca
Via Bicocca degli Arcimboldi 8, 20126 Milano
0039-2-64483119
http://www.economia.unimib.it/bellini
http://scholar.google.it/citations?user=P61L8P4AAAAJ&hl=it