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Insurance Demand Anomalies and Regulation
risk aversion individuals' demand insurance normative implications
2011/9/7
In recent years, it has become increasingly clear that risk aversion alone cannot explain individuals' demand for insurance. From the perspective of risk aversion, individuals tend to purchase insuran...
Numerical methods for optimal insurance demand under marked point processes shocks
Optimal insurance stochastic control duality dynamic programming principle
2010/10/21
This paper deals with numerical solutions of maximizing expected utility from terminal wealth under a non-bankruptcy constraint. The wealth process is subject to shocks produced by a general marked p...
Optimal insurance demand under marked point processes shocks: a dynamic programming duality approach
Optimal insurance stochastic control duality optional decomposition
2010/10/21
We study the stochastic control problem of maximizing expected utility from terminal wealth under a non-bankruptcy constraint. The wealth process is subject to shocks produced by a general marked poin...