Personal non-life insurance decisions and the welfare loss from flat deductibles

Research output: Contribution to journal › Journal article › Research › peer-review

Standard

Personal non-life insurance decisions and the welfare loss from flat deductibles. / Steffensen, Mogens; Thøgersen, Julie.

In: ASTIN Bulletin, Vol. 49, No. 1, 2019, p. 85-116.

Research output: Contribution to journal › Journal article › Research › peer-review

Harvard

Steffensen, M & Thøgersen, J 2019, 'Personal non-life insurance decisions and the welfare loss from flat deductibles', ASTIN Bulletin, vol. 49, no. 1, pp. 85-116. https://doi.org/10.1017/asb.2019.40

APA

Steffensen, M., & Thøgersen, J. (2019). Personal non-life insurance decisions and the welfare loss from flat deductibles. ASTIN Bulletin, 49(1), 85-116. https://doi.org/10.1017/asb.2019.40

Vancouver

Steffensen M, Thøgersen J. Personal non-life insurance decisions and the welfare loss from flat deductibles. ASTIN Bulletin. 2019;49(1):85-116. https://doi.org/10.1017/asb.2019.40

Author

Steffensen, Mogens ; Thøgersen, Julie. / Personal non-life insurance decisions and the welfare loss from flat deductibles. In: ASTIN Bulletin. 2019 ; Vol. 49, No. 1. pp. 85-116.

Bibtex

@article{fe3f488c58ac4c2bb5eeedc49c76ac19,
title = "Personal non-life insurance decisions and the welfare loss from flat deductibles",
abstract = "We view the retail non-life insurance decision from the perspective of the insured. We formalize different consumption-insurance problems depending on the flexibility of the insurance contract. For exponential utility and power utility we find the optimal flexible insurance decision or insurance contract. For exponential utility we also find the optimal position in standard contracts that are less flexible and therefore, for certain nonlinear pricing rules, lead to a welfare loss for the individual insuree compared to the optimal flexible insurance decision. For the exponential loss distribution, we quantify a significant welfare loss. This calls for product development in the retail insurance business.",
keywords = "compound Poisson loss process, Exponential utility, HJB equation, insurance pricing, product design",
author = "Mogens Steffensen and Julie Th{\o}gersen",
year = "2019",
doi = "10.1017/asb.2019.40",
language = "English",
volume = "49",
pages = "85--116",
journal = "ASTIN Bulletin: The Journal of the IAA",
issn = "0515-0361",
publisher = "Cambridge University Press",
number = "1",

}

RIS

TY - JOUR

T1 - Personal non-life insurance decisions and the welfare loss from flat deductibles

AU - Steffensen, Mogens

AU - Thøgersen, Julie

PY - 2019

Y1 - 2019

N2 - We view the retail non-life insurance decision from the perspective of the insured. We formalize different consumption-insurance problems depending on the flexibility of the insurance contract. For exponential utility and power utility we find the optimal flexible insurance decision or insurance contract. For exponential utility we also find the optimal position in standard contracts that are less flexible and therefore, for certain nonlinear pricing rules, lead to a welfare loss for the individual insuree compared to the optimal flexible insurance decision. For the exponential loss distribution, we quantify a significant welfare loss. This calls for product development in the retail insurance business.

AB - We view the retail non-life insurance decision from the perspective of the insured. We formalize different consumption-insurance problems depending on the flexibility of the insurance contract. For exponential utility and power utility we find the optimal flexible insurance decision or insurance contract. For exponential utility we also find the optimal position in standard contracts that are less flexible and therefore, for certain nonlinear pricing rules, lead to a welfare loss for the individual insuree compared to the optimal flexible insurance decision. For the exponential loss distribution, we quantify a significant welfare loss. This calls for product development in the retail insurance business.

KW - compound Poisson loss process

KW - Exponential utility

KW - HJB equation

KW - insurance pricing

KW - product design

UR - http://www.scopus.com/inward/record.url?scp=85062351460&partnerID=8YFLogxK

U2 - 10.1017/asb.2019.40

DO - 10.1017/asb.2019.40

M3 - Journal article

AN - SCOPUS:85062351460

VL - 49

SP - 85

EP - 116

JO - ASTIN Bulletin: The Journal of the IAA

JF - ASTIN Bulletin: The Journal of the IAA

SN - 0515-0361

IS - 1

ER -

ID: 235073183