In this paper, we consider the optimal investment problem for an insurer who has n dependent lines of business. The surplus process of the insurer is described by a n-dimensional compound Poisson risk process. Moreover, the insurer is allowed to invest in a risk-free asset and a risky asset whose price process follows the constant elasticity of variance (CEV) model. The investment objective is ...

In this paper we consider an insurer who has incomplete information about the claim frequency of the risk process. He therefore calculates the premium on the basis of a prior distribution for the claim frequency. Future information might then reveal that it is no longer optimal for the insurer to continue to offer the insurance under the current conditions. We consider a model where, at certain...

This study provides evidence that franchise value improves insurers’ operating performance. Essentially coming from an insurer’s market power, franchise value includes the insurer’s brand royalty, business networking, and underwriting and claim specialty. High franchise value firms who could charge more, have lower operating costs, and have a larger client base are potentially more profitable. ...

We revisit the role of limited commitment in a dynamic risk-sharing setting with private information. We show that a Markov-perfect equilibrium, in which agent and insurer cannot commit beyond the current period, and an infinitely-long contract to which only the insurer can commit, implement identical consumption, effort and welfare outcomes. Unlike contracts with full commitment by the insurer...

The paper concerns the problem how to purchase the reinsurance in order to make the insurer and the reinsurance company’s total risk to be least under the expected value principle. When the insurer and reinsurance company take arbitrary risk measures, sufficient conditions for optimality of reinsurance contract are given within the restricted class of admissible contracts. Further, the explicit...

Asymmetric awareness of the contracting parties regarding the uncertainty surrounding them is proposed as a reason for incompleteness in contractual forms. An insurance problem is studied between a risk neutral insurer, who has superior awareness regarding the nature of the uncertainty, and a risk averse insuree, who cannot foresee all the relevant contingencies. The insurer can mention in a co...

Internet users such as individuals and organizations are subject to different types of epidemic risks such as worms, viruses, spams, and botnets. To reduce the probability of risk, an Internet user generally invests in traditional security mechanisms like anti-virus and anti-spam software, sometimes also known as self-defense mechanisms. However, such software does not completely eliminate risk...