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@article{ART001084942},
author={Hong,Soon-Koo},
title={Expectation Dependence and the Bernoulli Principle Under Multiple Sources of Risk},
journal={Journal of Insurance and Finance},
issn={2384-3209},
year={2007},
volume={18},
number={2},
pages={79-114}

TY - JOUR
AU - Hong,Soon-Koo
TI - Expectation Dependence and the Bernoulli Principle Under Multiple Sources of Risk
JO - Journal of Insurance and Finance
PY - 2007
VL - 18
IS - 2
PB - Korea Insurance Research Institute
SP - 79
EP - 114
SN - 2384-3209
AB - This paper examines the Bernoulli Principle when an individual faces both a background risk and an interdependent insurable risk. The background risk is modelled as an initial random wealth. Within this model, using "expectation dependence" developed by Wright(1987), we provide the necessary and sufficient conditions for the Bernoulli Principle to hold or violate. That is, it is shown that the rational individual would buy less than, full or more than full insurance if and only if the expectation dependence is positive, zero or negative, respectively. These results extend the recent conclusion of, for example, Aboudi.Thon(1995) or Hong(2001, 2004) in two ways: 1.The notions of expectation dependence are less restrictive than those of regression dependence in Aboudi.Thon(1995) or those of Brumelle(1974)'s interdependence in Hong(2001, 2004); 2.We give conditions that are both necessary and sufficient, while Aboudi.Thon(1995) or Hong(2001, 2004) suggested only the sufficient, but not necessary, conditions for the Bernoulli Principle.
KW - Expectation Dependence;Necessary and Sufficient Conditions;Stochastic Interdependence;The Bernoulli Principle
DO -
UR -
ER -

Hong,Soon-Koo. (2007). Expectation Dependence and the Bernoulli Principle Under Multiple Sources of Risk. Journal of Insurance and Finance, 18(2), 79-114.

Hong,Soon-Koo. 2007, "Expectation Dependence and the Bernoulli Principle Under Multiple Sources of Risk", Journal of Insurance and Finance, vol.18, no.2 pp.79-114.

Hong,Soon-Koo "Expectation Dependence and the Bernoulli Principle Under Multiple Sources of Risk" Journal of Insurance and Finance 18.2 pp.79-114 (2007) : 79.

Hong,Soon-Koo. Expectation Dependence and the Bernoulli Principle Under Multiple Sources of Risk. 2007; 18(2), 79-114.

Hong,Soon-Koo. "Expectation Dependence and the Bernoulli Principle Under Multiple Sources of Risk" Journal of Insurance and Finance 18, no.2 (2007) : 79-114.

Hong,Soon-Koo. Expectation Dependence and the Bernoulli Principle Under Multiple Sources of Risk. Journal of Insurance and Finance, 18(2), 79-114.

Hong,Soon-Koo. Expectation Dependence and the Bernoulli Principle Under Multiple Sources of Risk. Journal of Insurance and Finance. 2007; 18(2) 79-114.

Hong,Soon-Koo. Expectation Dependence and the Bernoulli Principle Under Multiple Sources of Risk. 2007; 18(2), 79-114.

Hong,Soon-Koo. "Expectation Dependence and the Bernoulli Principle Under Multiple Sources of Risk" Journal of Insurance and Finance 18, no.2 (2007) : 79-114.