摘要：We study the optimal insurance design problem. This is a risk sharing problem between an insured and an insurer. The main novelty in this paper is that we study this optimization problem under a risk-adjusted premium calculation principle for the insurance cover. This risk-adjusted premium calculation principle uses the cost-of-capital approach as it is suggested (and used) by the regulator and the insurance industry.
关键词：demand of insurance; optimal insurance design; risk-adjusted premium; cost-of-capital loading; deductible and risk sharing
