Optimal insurance with counterparty default risk

Detalhes bibliográficos
Autor(a) principal: Biffis, Enrico
Data de Publicação: 2011
Outros Autores: Millossovich, Pietro
Idioma: eng
Título da fonte: Repositórios Científicos de Acesso Aberto de Portugal (RCAAP)
Texto Completo: http://hdl.handle.net/10400.21/1404
Resumo: We study the design of optimal insurance contracts when the insurer can default on its obligations. In our model default arises endogenously from the interaction of the insurance premium, the indemnity schedule and the insurer’s assets. This allows us to understand the joint effect of insolvency risk and background risk on efficient contracts. The results may shed light on the aggregate risk retention sched- ules observed in catastrophe reinsurance markets, and can assist in the design of (re)insurance programs and guarantee funds.
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spelling Optimal insurance with counterparty default riskInsurance demand,Default riskCatastrophe riskLimited liabilityIncomplete marketsWe study the design of optimal insurance contracts when the insurer can default on its obligations. In our model default arises endogenously from the interaction of the insurance premium, the indemnity schedule and the insurer’s assets. This allows us to understand the joint effect of insolvency risk and background risk on efficient contracts. The results may shed light on the aggregate risk retention sched- ules observed in catastrophe reinsurance markets, and can assist in the design of (re)insurance programs and guarantee funds.RCIPLBiffis, EnricoMillossovich, Pietro2012-04-19T13:57:15Z2011-032011-03-01T00:00:00Zconference objectinfo:eu-repo/semantics/publishedVersionapplication/pdfhttp://hdl.handle.net/10400.21/1404enginfo:eu-repo/semantics/openAccessreponame:Repositórios Científicos de Acesso Aberto de Portugal (RCAAP)instname:FCCN, serviços digitais da FCT – Fundação para a Ciência e a Tecnologiainstacron:RCAAP2025-02-12T10:10:20Zoai:repositorio.ipl.pt:10400.21/1404Portal AgregadorONGhttps://www.rcaap.pt/oai/openaireinfo@rcaap.ptopendoar:https://opendoar.ac.uk/repository/71602025-05-28T20:04:49.330329Repositórios Científicos de Acesso Aberto de Portugal (RCAAP) - FCCN, serviços digitais da FCT – Fundação para a Ciência e a Tecnologiafalse
dc.title.none.fl_str_mv Optimal insurance with counterparty default risk
title Optimal insurance with counterparty default risk
spellingShingle Optimal insurance with counterparty default risk
Biffis, Enrico
Insurance demand,
Default risk
Catastrophe risk
Limited liability
Incomplete markets
title_short Optimal insurance with counterparty default risk
title_full Optimal insurance with counterparty default risk
title_fullStr Optimal insurance with counterparty default risk
title_full_unstemmed Optimal insurance with counterparty default risk
title_sort Optimal insurance with counterparty default risk
author Biffis, Enrico
author_facet Biffis, Enrico
Millossovich, Pietro
author_role author
author2 Millossovich, Pietro
author2_role author
dc.contributor.none.fl_str_mv RCIPL
dc.contributor.author.fl_str_mv Biffis, Enrico
Millossovich, Pietro
dc.subject.por.fl_str_mv Insurance demand,
Default risk
Catastrophe risk
Limited liability
Incomplete markets
topic Insurance demand,
Default risk
Catastrophe risk
Limited liability
Incomplete markets
description We study the design of optimal insurance contracts when the insurer can default on its obligations. In our model default arises endogenously from the interaction of the insurance premium, the indemnity schedule and the insurer’s assets. This allows us to understand the joint effect of insolvency risk and background risk on efficient contracts. The results may shed light on the aggregate risk retention sched- ules observed in catastrophe reinsurance markets, and can assist in the design of (re)insurance programs and guarantee funds.
publishDate 2011
dc.date.none.fl_str_mv 2011-03
2011-03-01T00:00:00Z
2012-04-19T13:57:15Z
dc.type.driver.fl_str_mv conference object
dc.type.status.fl_str_mv info:eu-repo/semantics/publishedVersion
status_str publishedVersion
dc.identifier.uri.fl_str_mv http://hdl.handle.net/10400.21/1404
url http://hdl.handle.net/10400.21/1404
dc.language.iso.fl_str_mv eng
language eng
dc.rights.driver.fl_str_mv info:eu-repo/semantics/openAccess
eu_rights_str_mv openAccess
dc.format.none.fl_str_mv application/pdf
dc.source.none.fl_str_mv reponame:Repositórios Científicos de Acesso Aberto de Portugal (RCAAP)
instname:FCCN, serviços digitais da FCT – Fundação para a Ciência e a Tecnologia
instacron:RCAAP
instname_str FCCN, serviços digitais da FCT – Fundação para a Ciência e a Tecnologia
instacron_str RCAAP
institution RCAAP
reponame_str Repositórios Científicos de Acesso Aberto de Portugal (RCAAP)
collection Repositórios Científicos de Acesso Aberto de Portugal (RCAAP)
repository.name.fl_str_mv Repositórios Científicos de Acesso Aberto de Portugal (RCAAP) - FCCN, serviços digitais da FCT – Fundação para a Ciência e a Tecnologia
repository.mail.fl_str_mv info@rcaap.pt
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