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Satisficing pooling insurance design
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DOI：10.1016/j.insmatheco.2026.103248.png)
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Abstract
En 中文
In practice, insurance companies usually can only offer a small number of policy options in the menu due to cost and management considerations. This paper sheds light on the design of optimal insurance contracts when the number of provided policies is fewer than the types of buyers. Under a monopoly insurance market with complete information, we propose a satisficing mechanism for designing a menu of pooling proportional insurance contracts when the buyers adopt a general risk measure, with the aim of maximizing the seller's profit while charging premiums by the expected-value premium principle. We introduce an iterative procedure to find these pooling policies, in which only one new policy is introduced in each step. The analytic expressions of the solutions and the associated profits can be effectively derived through the iterative procedure. Numerical examples are presented to illustrate the high efficiency and operational simplicity of the proposed method.
Keywords:
Optimal insurance
Pooling
Proportional insurance
Risk measures
Expected-value premium principle
Satisficing method
Iterative procedure
Journal
I
IF:
2.2
Papers:
66
Citations:
0