Finding Pareto Optimal Insurance Contracts

Ermoliev YM & Flam SD (2000). Finding Pareto Optimal Insurance Contracts. IIASA Interim Report. IIASA, Laxenburg, Austria: IR-00-033

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Abstract

This note deals with on-line computation or learning of Pareto optimal insurance contracts. We account for the fact that the loss distribution often is unknown, unavailable, or intractable. Alternatively, the contracting parties could be inexperienced. In both cases loses must be simulated or observed, one at a time, these causing iterated revision of the premium. The mechanical nature of probability calculus thus yields to more tentative procedure, possibly closer to how humans operate or reason in face of risk. Emphasized here is the remarkable simplicity and stability of the resulting procedures. Special attention goes to catastrophic risks and subsidized insurance.

Item Type: Monograph (IIASA Interim Report)
Research Programs: Institute Scholars (INS)
Risk, Modeling and Society (RMS)
Depositing User: IIASA Import
Date Deposited: 15 Jan 2016 02:12
Last Modified: 18 Nov 2016 05:32
URI: http://pure.iiasa.ac.at/6212

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