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An Insurance Contract for Financial Assets with Experience Rating

  • Werner Jammernegg
  • Peter Kischka
Conference paper

Abstract

In traditional insurance situations contracts are based in general on experience rating. Usually it is assumed that the agent is insured during a given planning period. The problem then is to decide whether in some period a given loss should be claimed or not. The insurance premium depends on the individual claim history of the agent. Contrary, the insurance of financial assets is based on the performance of capital markets. It is known as portfolio insurance (cp. e. g. Schwartz (1986/87)).

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References

  1. Heyman D P and M J Sobel (1984) Stochastic Models in Operations Research. Volume II, McGraw-Hill. New YorkGoogle Scholar
  2. Jammernegg W, Kischka P (1991) An Insurance contract for financial assets with experience rating. Working paperGoogle Scholar
  3. Schwartz E S (1986/87) “Options and Portfolio Insurance”. Finanzmarkt und Portfolio Management, 1: 9–17Google Scholar

Copyright information

© Springer-Verlag Berlin Heidelberg 1993

Authors and Affiliations

  • Werner Jammernegg
    • 1
  • Peter Kischka
    • 2
  1. 1.Institut für InformationsverarbeitungWirtschaftsuniversität WienWienAustria
  2. 2.Lehrstuhl für Wirtschafts- und SozialstatistikFriedr.-Schiller-Univ.JenaGermany

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