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The Interaction Between the Demands for Insurance and Insurable Assets (1997)

Eeckhoudt, Louis ; Meyer, Jack ; Ormiston, Michael

Springer

Journal of risk and uncertainty 14 (1997), S. 25-39

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ISSN: 1573-0476

Keywords: insurance ; portfolios ; expected utility

Source: Springer Online Journal Archives 1860-2000

Topics: Economics

Notes: Abstract Holding more of the riskless asset and insuring the risky asset are two ways to reduce portfolio risk. These methods can be employed jointly. As a result, the amount of insurance selected to indemnify against possible losses from holding a risky asset depends, in general, on the quantities of the risky and riskless assets held in the portfolio, and vice versa. In decision models where expected utility is maximized, relatively little has been done to integrate these two decisions into a single model. Such a model is formulated in this paper and the interaction between the demand for insurance and the demand for an insurable risky asset is examined.

Type of Medium: Electronic Resource

URL: http://dx.doi.org/10.1023/A:1007717719423

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