The Geneva Papers on Risk and Insurance Theory
1573-6954
0926-4957
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On the Optimality of Bank Runs: Comment on Allen and Gale
Tập 28 - Trang 33-57 - 2003
This paper presents a model consistent with the business cycle view of the
origins of banking panics. As in Allen and Gale (1998), bank runs arise
endogenously as a consequence of the standard deposit contract in a world with
aggregate uncertainty about asset returns. The purpose of the paper is to show
that Allen and Gale's result about the optimality of bank runs depends on
individuals's prefere...
Equilibrium in a Reinsurance Market: Introducing Taxes
Tập 19 - Trang 101-117 - 1994
We introduce profit taxation in Borch's [1962] model of a competitive insurance
market. We analyze the impact of taxation on equilibrium prices and characterize
the cases where optimal risk sharing is preserved. In the case of Constant
Relative Risk Aversion (CRRA) utility functions, this abstract characterization
is translated into simple conditions involving the solvency ratios of the
companies....
The Valuation of Insurance under Uncertainty: Does Information about Probability Matter?
Tập 26 - Trang 195-224 - 2001
In a laboratory experiment we test the hypothesis that consumers' valuation of
insurance is sensitive to the amount of information available on the probability
of a potential loss. In order to test this hypothesis we simulate a market in
which we elicit individuals' willingness to pay to insure against a loss
characterised either by known or else vague probabilities. We use two distinct
treatments...
Comparative Statics Under Multiple Sources of Risk with Applications to Insurance Demand
Tập 17 - Trang 21-33 - 1992
In this paper we propose an answer to the following problem of comparative
statics in models with multiple sources of risk: How a risk averse agent will
change his coinsurance demand when the distribution of the insurable loss is
shifted? To answer the question, we first comment on Jack Meyer's results and
then we show how an alternate approach leads to more definitive comparative
statics.
Arbitrage and Viability in Insurance Markets
Tập 25 - Trang 81-99 - 2000
Insurance markets are subject to transaction costs and constraints on portfolio
holdings. Therefore, unlike the frictionless asset markets case, viability is
not equivalent to absence of arbitrage possibilities. We use the concept of
unbounded arbitrage to characterize viable prices on a complete and an
incomplete insurance market. In the complete market, there is an insurance
contract for every p...
On the Judgment Proof Problem
Tập 27 - Trang 143-152 - 2002
A party who causes harm to others and is found legally liable but cannot fully
pay is said to be judgment proof. When the party who causes the harm is judgment
proof, the incentives provided by the negligence and strict liability rules
diverge. The payment probabilities implied by the two rules also differ. If the
cost of care is non-monetary, as in Shavell's analysis, then the different
probabili...
The Social Response to Environmental Risk, Edited by Daniel W. Bromley and Kathleen Segerson
Tập 19 - Trang 73-76 - 1994