Insurance versus Self-Insurance: A Risk Management Perspective
从效用理论出发，研究在仅知道损失分布部分信息时，如何做出自我保险或风险自留的科学决策，并给出期望效用的紧界，适用于多种财务决策。
The scientific risk-retention or self-insurance decision from a utility theoretic point of view is examined under the assumption that the risk manager has only partial stochastic information about the loss severity distribution. When only the range and a few central moments are known about the loss severity distribution, it is shown how to obtain maximally tight bounds on the expected utility of self insurance. Significantly, the extremal probability distributions derived do not depend upon the particular decision maker's utility function and, therefore, should be applicable to a wide variety of financial decisions. Moreover, financial and/or risk managers in a business can make decisions without assessing the preference structure of the firm's owners.