Optimal Insurance in Incomplete Markets
研究存在不可保背景风险时的最优保险购买理论，发现现有关于最优保险水平和合同形式的定理仅在有限市场与风险假设下成立，且最优保单形式取决于可保与不可保风险的相关性。
This paper examines the theory of optimal insurance purchasing in the presence of uninsurable background risk. Existing theorems concerning the optimal level of insurance and the optimal form of an insurance contract are shown to hold only under restricted market and risk assumptions. In particular, conditions sufficient for the optimality of full coverage or sufficient for the optimality of deductible policies depend on the correlation between insurable and uninsurable risks. These results may provide a partial explanation why existing theory is often contradicted by observable behavior.