(2) Note, however, the contributions of Briys
, Schlesinger, and von der Schulenburg (1991) and Schlesinger (1992) considering the reliability of prevention expenses.
"I really worry we're facing another election and, as a Parliamentary democracy, one has this notion y and voting are in A just because we're in Briys
, Eric, Michel Crouhy, and Harris Schlesinger, "Optimal Hedging in a Futures Market with Background Noise and Basis Risk." European Economic Review, June 1993, 949-60.
, Eric and Harris Schlesinger, "Risk Aversion and the Propensities for Self-Insurance and Self-Protection." Southern Economic Journal, October 1990, 458-67.
We therefore consider a contingent claim model framework for an insurance company based on a model first proposed by Doherty and Garven (1986), and inspired by the standard models of Briys
and de Varenne (1997) and Grosen and Jorgensen (2002).
As derived in studies such as Dionne and Eeckhoudt (1985) and Briys
and Schlesinger (1990), an individual who is more risk averse will spend more on self-insurance.
Among this literature, we find in particular Briys
and de Varenne (1997), Grosen and Jorgensen (2002), Bacinello (2003), Ballotta, Haberman, and Wang (2006), and Gatzert (2008).
(1) For example, see Dionne and Eeckhoudt (1985), Briys
and Schlesinger (1990), McGuire, Pratt and Zeckhauser (1991), Jullien et al.
For the short-rate process, we follow Briys
and de Varenne (1994), Hansen and Miltersen (2002), and Jorgensen (2007) and use the Vasicek model (Vasicek, 1977), which is a Gaussian Ornstein-Uhlenbeck process.
There has been some work done on the possibility that in response to an increase in the premium rate, consumers may choose to increase their insurance coverage, i.e., the demand for insurance may be upward sloping (Hoy and Robson, 1981; Briys
, Dionne, and Eeckhoudt, 1989; Hau, 2008).
and Varenne (1997, 2001) calculated the effective duration of the liability associated with a single-premium participating contract having a minimum guaranteed rate of return.
For example, topics studied are habit formation and the demand for insurance (e.g., Ben-Arab, Briys
, and Schlesinger, 1996), consumer perceptions of service quality (Wells and Stafford, 1995; Stafford, Stafford, and Wells, 1998), individual portfolio decisions and demand (Mayers and Smith, 1983), household characteristics (Showers and Shotick, 1994), and demand in the presence of other risks (Doherty and Schlesinger, 1983; Schlesinger and Doherty, 1985; Gollier and Scharmure, 1994).