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Optimal Insurance in Incomplete Markets
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Optimal Insurance in Incomplete Markets (1983)Optimal Insurance in Incomplete MarketsUNCERTAINTY AND THE WELFARE ECONOMICS OF MEDICAL CARE (2003)UNCERTAINTY AND THE WELFARE E…The Design of an Optimal Insurance Policy (1992)The Design of an Optimal Insu…Aspects of Rational Insurance Purchasing (1992)Aspects of Rational Insurance…Preservation of “more risk averse” under expectations (1982)Preservation of “more risk av…Some Stronger Measures of Risk Aversion in the Small and the Large with Applications (1981)Some Stronger Measures of Ris…Risk Aversion with Random Initial Wealth (1981)Risk Aversion with Random Ini…A Simplified Model for Portfolio Analysis (1963)A Simplified Model for Portfo…Portfolio Selection: Efficient Diversification of Investments. (1962)Portfolio Selection: Efficien…Portfolio Selection: Efficient Diversification of Investments (1959)Portfolio Selection: Efficien…The Theory of Insurance Demand (2013)The Theory of Insurance DemandTime-varying effects in the analysis of customer loyalty: A case study in insurance (2011)Time-varying effects in the a…Optimal Reinsurance Arrangements Under Tail Risk Measures (2009)Optimal Reinsurance Arrangeme…Precautionary saving in the presence of other risks (2006)Precautionary saving in the p…Optimal risk sharing with background risk (2005)Optimal risk sharing with bac…Background Risks and the Value of a Statistical Life (2001)Background Risks and the Valu…The Theory of Insurance Demand (2000)The Theory of Insurance DemandAdverse Selection in Insurance Markets (2000)Adverse Selection in Insuranc…Actuarial versus Financial Pricing of Insurance (2000)Actuarial versus Financial Pr…Who Buys and Who Sells Options: The Role of Options in an Economy with Background Risk (1998)Who Buys and Who Sells Option…Non-Expected Utility and The Robustness of the Classical Insurance Paradigm (1995)Non-Expected Utility and The …Optimal hedging in a futures market with background noise and basis risk (1993)Optimal hedging in a futures …Insurance with undiversifiable risk: Contract structure and organizational form of insurance firms (1993)Insurance with undiversifiabl…Incomplete Markets for Insurance: An Overview (1992)Incomplete Markets for Insura…Background Risk, Prudence, and the Demand for Insurance (1992)Background Risk, Prudence, an…Rational Insurance Purchasing: Consideration of Contract Nonperformance (1990)Rational Insurance Purchasing…The Theory of Syndicates (1968)Essays in the Theory of Risk-Bearing. (1972)Optimal contracts and competitive markets with costly state verification (1979)Contractual Provisions, Organizational Structure, and Conflict Control in Insurance Markets (1981)Optimal Insurance Policy Indemnity Schedules (1983)Inf-convolution of risk measures and optimal risk transfer (2005)Risk Aversion in the Small and in the Large (1976)Risk Aversion, Wealth and Background Risk (2001)Aspects of the Theory of Risk-Bearing. (1966)Financial Intermediation and Delegated Monitoring (1984)Theory of Financial Decision Making. (1988)Cash Crop Production, Food Price Volatility, and Rural Market Integration in the Third World (1992)Choice Under Uncertainty: Problems Solved and Unsolved (1992)Derivatives and Corporate Risk Management: Participation and Volume Decisions in the Insurance Industry (2001)The Determinants of Microinsurance Demand (2013)Risk Aversion in the Small and in the Large (1964)The Welfare Loss of Excess Health Insurance (1973)The Demand for Flood Insurance: Empirical Evidence (2000)Precautionary Saving in the Small and in the Large (1990)Risk, Return, and Equilibrium: Empirical Tests (1973)The Cross-Section of Expected Stock Returns (1992)Multifactor Explanations of Asset Pricing Anomalies (1996)THE PERFORMANCE OF MUTUAL FUNDS IN THE PERIOD 1945–1964 (1968)THE VALUATION OF RISK ASSETS AND THE SELECTION OF RISKY INVESTMENTS IN STOCK PORTFOLIOS AND CAPITAL BUDGETS**This paper is another in a series of interrelated theoretical and statistical studies of corporate financial and investment policies being made under grants from the Rockefeller Foundation, and more recently the Ford Foundation, to the Harvard Business School. The generous support for this work is most gratefully acknowledged. The author is also much indebted to his colleagues Professors Bishop, Christenson, Kahr, Raiffa, and (especially) Schlaifer, for extensive discussion and commentary on an earlier draft of this paper; but responsibility for any errors or imperfections remains strictly his own.[Professor Sharpe's paper, “Capital Asset Prices: A Theory of Market Equilibrium Under Conditions of Risk” (Journal of Finance, September 1964) appeared after this paper was in final form and on its way to the printers. My first section, which parallels the first half of his paper (with corresponding conclusions), sets the algebraic framework for sections II, III and VI, (which have no counterpart in his paper) and for section IV on the equilibrium prices of risk assets, concerning which our results differ significantly for reasons which will be explored elsewhere. Sharpe does not take up the capital budgeting problem developed in section V below.] (1975)The Adjustment of Stock Prices to New Information (2003)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Health insurance and the demand for medical care: evidence from a randomized experiment. (1987)The Theory of Incentives: The Principal-Agent Model (2001)Information and the Change in the Paradigm in Economics (2002)
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References

  • 1959Portfolio Selection: Efficient Diversification of Investments5,535 cited
  • 2003UNCERTAINTY AND THE WELFARE ECONOMICS OF MEDICAL CARE4,078 cited
  • 1962Portfolio Selection: Efficient Diversification of Investments.3,621 cited
  • 1963A Simplified Model for Portfolio Analysis2,740 cited
  • 1992Aspects of Rational Insurance Purchasing609 cited
  • 1992The Design of an Optimal Insurance Policy514 cited
  • 1981Some Stronger Measures of Risk Aversion in the Small and the Large with Applications450 cited
  • 1981Risk Aversion with Random Initial Wealth235 cited
  • 1982Preservation of “more risk averse” under expectations112 cited

Cited by

  • 1990Rational Insurance Purchasing: Consideration of Contract Nonperformance227 cited
  • 1992Background Risk, Prudence, and the Demand for Insurance187 cited
  • 2013The Theory of Insurance Demand155 cited
  • 2001Background Risks and the Value of a Statistical Life137 cited
  • 1993Insurance with undiversifiable risk: Contract structure and organizational form of insurance firms137 cited
  • 1998Who Buys and Who Sells Options: The Role of Options in an Economy with Background Risk127 cited

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  • 2000Adverse Selection in Insurance Markets127 cited
  • 2000Actuarial versus Financial Pricing of Insurance127 cited
  • 2009Optimal Reinsurance Arrangements Under Tail Risk Measures126 cited
  • 2005Optimal risk sharing with background risk118 cited
  • 1995Non-Expected Utility and The Robustness of the Classical Insurance Paradigm99 cited
  • 2000The Theory of Insurance Demand91 cited
  • 1992Incomplete Markets for Insurance: An Overview79 cited
  • 1993Optimal hedging in a futures market with background noise and basis risk70 cited
  • 2006Precautionary saving in the presence of other risks68 cited
  • 2011Time-varying effects in the analysis of customer loyalty: A case study in insurance65 cited