Do competitive insurance markets function orderly in the presence of moral hazard and adverse selection? What are the properties of allocations attainable as competitive equilibria of such economies? And in particular, are competitive equilibria incentive efficient? The fundamental contribution on competitive markets for insurance contracts is Prescott and Townsend (1984). They analyze Walrasia...

The Expected Shortfall (ES) is one of the most important regulatory risk measures in finance, insurance, and statistics, which has recently been characterized via sets axioms from perspectives portfolio management statistics. Meanwhile, there large literature on insurance design with ES as an objective or a constraint. A visible gap to justify special role actuarial science. To fill this gap, w...

We present a method of optimal hedging and pricing of equity-linked life insurance products in an incomplete discrete-time financial market. A pure endowment life insurance contract with guarantee is used as an example. The financial market incompleteness is caused by the assumption that the underlying risky asset price ratios are distributed in a compact interval, generalizing the assumptions ...

Monopolies appear throughout health care. We show that health insurance operates like a conventional two-part pricing contract that allows monopolists to extract profits without inefficiently constraining quantity. When insurers are free to offer a range of insurance contracts to different consumer types, health insurance markets perfectly eliminate deadweight losses from upstream health care m...

Many people do not take up desaster insurance for their houses even though premiums are subsidized. A well-known example is flood insurance. At the same time they buy highly loaded insurance contracts for modest risk. Examples here are extended warranties or cellular phone insurance. This paper shows that unlike traditional decision theory prospect theory can explain this evidence provided the ...