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@article{ART001393412},
author={Hong,Soon-Koo},
title={Wealth Effects on the Insured’s Optimal Loss Portfolio and Asset Portfolio},
journal={Journal of Insurance and Finance},
issn={2384-3209},
year={2009},
volume={20},
number={3},
pages={3-39}

TY - JOUR
AU - Hong,Soon-Koo
TI - Wealth Effects on the Insured’s Optimal Loss Portfolio and Asset Portfolio
JO - Journal of Insurance and Finance
PY - 2009
VL - 20
IS - 3
PB - Korea Insurance Research Institute
SP - 3
EP - 39
SN - 2384-3209
AB - Since Mossin(1968), it has long been recognized that insurance is an inferior good within the decreasing absolute risk aversion. The purpose of this paper is to analyze, based on Mossin(1968), the wealth effects on insured’s optimal loss portfolio and asset portfolio, using a general expected utility maximization model. Our main results can be summarized as follows: In particular, if an utility function exhibits DARA, an increase in initial wealth reduces the optimal level of insurance and deteriorates the riskiness of loss portfolio, and so insured’s total risk-taking in the final asset portfolio would in fact increase. However, the certainty equivalent level as well as the mean value of asset portfolio is improved more than an increase in initial wealth due to the saving of insurance loading. The additional results for the case of CARA and IARA are also provided.
KW - asset portfolio;certainty equivalent;inferior good;loss portfolio; normal good;wealth effect
DO -
UR -
ER -

Hong,Soon-Koo. (2009). Wealth Effects on the Insured’s Optimal Loss Portfolio and Asset Portfolio. Journal of Insurance and Finance, 20(3), 3-39.

Hong,Soon-Koo. 2009, "Wealth Effects on the Insured’s Optimal Loss Portfolio and Asset Portfolio", Journal of Insurance and Finance, vol.20, no.3 pp.3-39.

Hong,Soon-Koo "Wealth Effects on the Insured’s Optimal Loss Portfolio and Asset Portfolio" Journal of Insurance and Finance 20.3 pp.3-39 (2009) : 3.

Hong,Soon-Koo. Wealth Effects on the Insured’s Optimal Loss Portfolio and Asset Portfolio. 2009; 20(3), 3-39.

Hong,Soon-Koo. "Wealth Effects on the Insured’s Optimal Loss Portfolio and Asset Portfolio" Journal of Insurance and Finance 20, no.3 (2009) : 3-39.

Hong,Soon-Koo. Wealth Effects on the Insured’s Optimal Loss Portfolio and Asset Portfolio. Journal of Insurance and Finance, 20(3), 3-39.

Hong,Soon-Koo. Wealth Effects on the Insured’s Optimal Loss Portfolio and Asset Portfolio. Journal of Insurance and Finance. 2009; 20(3) 3-39.

Hong,Soon-Koo. Wealth Effects on the Insured’s Optimal Loss Portfolio and Asset Portfolio. 2009; 20(3), 3-39.

Hong,Soon-Koo. "Wealth Effects on the Insured’s Optimal Loss Portfolio and Asset Portfolio" Journal of Insurance and Finance 20, no.3 (2009) : 3-39.