Utilize este identificador para referenciar este registo: http://hdl.handle.net/10400.21/1404
Título: Optimal insurance with counterparty default risk
Autor: Biffis, Enrico
Millossovich, Pietro
Palavras-chave: Insurance demand,
Default risk
Catastrophe risk
Limited liability
Incomplete markets
Data: Mar-2011
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.
Peer review: yes
URI: http://hdl.handle.net/10400.21/1404
Aparece nas colecções:ISCAL - Comunicações

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