@article{Mahul:22007,
      recid = {22007},
      author = {Mahul, Olivier},
      title = {HEDGING WITH INDIVIDUAL AND INDEX-BASED CONTRACTS},
      address = {2003},
      number = {376-2016-20493},
      series = {Selected Paper},
      pages = {22},
      year = {2003},
      abstract = {We examine the optimal hedging strategy with an individual  insurance policy, sold at an unfair price, and a fair  contract based on an index, which is imperfectly correlated  with the individual loss. The tradeoff between transaction  costs and basis risk is first analyzed in the expected  utility framework in order to highlight the role of the  agent's attitude toward risk, and then in the linear  mean-variance model to stress the importance of the degree  of correlation between the individual loss and the index.},
      url = {http://ageconsearch.umn.edu/record/22007},
      doi = {https://doi.org/10.22004/ag.econ.22007},
}