A simple insurance model: optimal coverage and deductible

Christopher Gaffney, Adi Ben-Israel

Research output: Contribution to journalArticlepeer-review

2 Scopus citations

Abstract

An insurance model, with realistic assumptions about coverage, deductible and premium, is studied. Insurance is shown to decrease the variance of the cost to the insured, but increase the expected cost, a tradeoff that places our model in the Markowitz mean-variance model.

Original languageEnglish (US)
Pages (from-to)263-279
Number of pages17
JournalAnnals of Operations Research
Volume237
Issue number1-2
DOIs
StatePublished - Feb 1 2016

All Science Journal Classification (ASJC) codes

  • Decision Sciences(all)
  • Management Science and Operations Research

Keywords

  • Deductible
  • Insurance
  • Markowitz mean-variance model
  • Optimal coverage

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