Optimal Insurance for a Minimal Expected Retention: The Case of an Ambiguity-Seeking Insurer

Optimal Insurance for a Minimal Expected Retention: The Case of an Ambiguity-Seeking Insurer

In the classical expected utility framework, a problem of optimal insurance design with a premium constraint is equivalent to a problem of optimal insurance design with a minimum expected retention constraint. When the insurer has ambiguous beliefs represented by a non-additive probability measure,...

Full description

Bibliographic Details
Main Authors: Massimiliano Amarante, Mario Ghossoub
Format: Article
Language:English
Published: MDPI AG 2016-03-01
Series:Risks
Subjects:
optimal insurance
deductible
minimum retention
ambiguity
Choquet integral
probability distortion
Online Access:http://www.mdpi.com/2227-9091/4/1/8

Internet

http://www.mdpi.com/2227-9091/4/1/8

Similar Items