Beneficial Changes in Random Variables Via Copulas: An Application to Insurance

GENEVA PAPERS ON RISK AND INSURANCE THEORY, Vol. 20 No 2, December 1995

Posted: 13 Jul 1998

See all articles by Luisa Tibiletti

Luisa Tibiletti

University of Turin - Department of Management

Abstract

A risk-averse agent does not necessarily decrease the optimal insurance coverage whenever a beneficial change in the distribution of final wealth occurs. This note provides sufficient conditions to guarantee such a decrease. Beneficial changes can be induced by either a beneficial loss-distribution shift, by a modification of the dependence structure between the randomness sources, or by both of these. Conditions for each case are stated. Hadar-Seo and Meyer results turn out as special cases.

JEL Classification: G22

Suggested Citation

Tibiletti, Luisa, Beneficial Changes in Random Variables Via Copulas: An Application to Insurance. GENEVA PAPERS ON RISK AND INSURANCE THEORY, Vol. 20 No 2, December 1995. Available at SSRN: https://ssrn.com/abstract=7049

Luisa Tibiletti (Contact Author)

University of Turin - Department of Management ( email )

C.so Unione Sovietica, 218 bis
Turin, Turin 10100
Italy
39-11-670-6229 (Phone)
39-11-670-6238 (Fax)

HOME PAGE: http://www.management.unito.it/tibiletti

Register to save articles to
your library

Register

Paper statistics

Abstract Views
402
PlumX Metrics