The Valuation of Multiple Claim Insurance Contracts
给出了存在免赔额和/或索赔上限的多重索赔保险合同价值的闭式解，该解是欧式期权价格的时间积分。模型揭示了系统性风险、特质风险及无风险利率变化对保单价值的影响。
This paper provides a closed form solution for the value of a multiple claim insurance contract that is subject to a deductible amount and/or an upper limit on claims. The solution is a time integral of European option prices. The model provides three important insights. First, systematic risk in insurance policies is altered in the presence of deductibles and maximum indemnity levels. Second, idiosyncratic risk affects policy valuation and the required rates of return on underwriting portfolios. Finally, contrary to traditional actuarial intuition, changes in the risk-free interest rate may either increase or reduce policy values.