First-order condetions for optimal insrrance policy

The optimal insurance policy will offer full coverage above a deductible in case of a single loss, as Arrow and others have shown long time ago. Many insurance policies provide coverage against a variety of losses that are called "umbrella policy". In this paper, we assume the risks has the nature of comonotonicity and thus the prices are given by Wang's premium calculation principle, which is different from the classic condition. Wang et al (1997) propose axioms for pricing insurance that characterize the premium principle of Wang(1996). We determine the optimal indemnity contract providing coverage against different losses for a risk-averse buyer who acts to maximize expected utility. We concludes that the results regarding optimal insurance policies hold unchanged when the insured faces more than one risk, when the loss considered is the loss from all those risks".