On cross-risk vulnerability - Archive ouverte HAL Accéder directement au contenu
Article Dans Une Revue Insurance: Mathematics and Economics Année : 2009

On cross-risk vulnerability

Yannick Malevergne
B. Rey
  • Fonction : Auteur

Résumé

We introduce the notion of cross-risk vulnerability to generalize the concept of risk vulnerability introduced by Gollier and Pratt. While risk vulnerability captures the idea that the presence of an unfair financial background risk should make risk-averse individuals behave in a more risk-averse way with respect to an independent financial risk, cross-risk vulnerability extends this idea to the impact of a non-financial background risk on the financial risk. It provides an answer to the question of the impact of a background risk on the optimal coinsurance rate and on the optimal deductible level. We derive necessary and sufficient conditions for a bivariate utility function to exhibit cross-risk vulnerability both toward an actuarially neutral background risk and toward an unfair background risk.Wealso analyze the question of the sub-additivity of risk premia and show to what extent cross-risk vulnerability provides an answer.
Fichier non déposé

Dates et versions

hal-02312539 , version 1 (05-03-2020)

Identifiants

  • HAL Id : hal-02312539 , version 1

Citer

Yannick Malevergne, B. Rey. On cross-risk vulnerability. Insurance: Mathematics and Economics, 2009, 45 (2), pp.224-229 P. ⟨hal-02312539⟩

Collections

EMLYON
18 Consultations
0 Téléchargements

Partager

Gmail Facebook X LinkedIn More