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Article: Demand for non-life insurance under habit formation

TitleDemand for non-life insurance under habit formation
Authors
KeywordsConsumption
Deductible
Habit formation
Optimal insurance
Proportional insurance
Issue Date2021
Citation
Insurance: Mathematics and Economics, 2021, v. 101, p. 38-54 How to Cite?
AbstractThis paper studies the optimal non-life insurance for an individual exhibiting internal habit formation in a life-cycle model. We show that the optimal indemnity is deductible under the expected premium principle. Under the additional assumption of exponential utility functions, we obtain the optimal strategies explicitly and find that habit formation reduces insurance coverage. Our model offers a potential explanation for global underinsurance phenomenon. Some numerical examples and sensitivity analysis are presented to highlight our theoretical results.
Persistent Identifierhttp://hdl.handle.net/10722/327714
ISSN
2023 Impact Factor: 1.9
2023 SCImago Journal Rankings: 1.113
ISI Accession Number ID

 

DC FieldValueLanguage
dc.contributor.authorLi, Wenyuan-
dc.contributor.authorTan, Ken Seng-
dc.contributor.authorWei, Pengyu-
dc.date.accessioned2023-04-24T05:09:26Z-
dc.date.available2023-04-24T05:09:26Z-
dc.date.issued2021-
dc.identifier.citationInsurance: Mathematics and Economics, 2021, v. 101, p. 38-54-
dc.identifier.issn0167-6687-
dc.identifier.urihttp://hdl.handle.net/10722/327714-
dc.description.abstractThis paper studies the optimal non-life insurance for an individual exhibiting internal habit formation in a life-cycle model. We show that the optimal indemnity is deductible under the expected premium principle. Under the additional assumption of exponential utility functions, we obtain the optimal strategies explicitly and find that habit formation reduces insurance coverage. Our model offers a potential explanation for global underinsurance phenomenon. Some numerical examples and sensitivity analysis are presented to highlight our theoretical results.-
dc.languageeng-
dc.relation.ispartofInsurance: Mathematics and Economics-
dc.subjectConsumption-
dc.subjectDeductible-
dc.subjectHabit formation-
dc.subjectOptimal insurance-
dc.subjectProportional insurance-
dc.titleDemand for non-life insurance under habit formation-
dc.typeArticle-
dc.description.naturelink_to_subscribed_fulltext-
dc.identifier.doi10.1016/j.insmatheco.2020.06.012-
dc.identifier.scopuseid_2-s2.0-85087717692-
dc.identifier.volume101-
dc.identifier.spage38-
dc.identifier.epage54-
dc.identifier.isiWOS:000712541100003-

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