Optimal insurance contract design with government disaster relief
研究了在政府可能提供灾害救济的情况下，最优保险合同的设计，发现固定救济概率下最优合同为绝对免赔额合同，若救济概率随损失增大而增加则需共保。
Abstract I examine the design of optimal insurance contracts considering the possibility of government disaster relief payments. This work focuses on the impact of (risky and ambiguous) government disaster relief on the shape of optimal private insurance contracts. I demonstrate that the optimal insurance contract is a straight deductible contract in the case of a fixed probability of government relief. This result is robust to ambiguity in the probability of relief payments, even for ambiguity‐averse decision makers. If government disaster relief becomes more likely for larger losses, then the optimal insurance contract features coinsurance above a deductible. I also extend this analysis to more general stochastic dominance relationships between disaster relief and loss magnitude.