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6 juillet 2021
- 2107.02656
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Assurance (Insurance) Coverage, Insurance Insurance protection Insurance coverage Insurance industry Indemnity insurance Mutual insurance UnderwritingCiter ce document
Xiaoqing Liang et al., « Optimal Insurance to Maximize RDEU Under a Distortion-Deviation Premium Principle », arXiv - économie
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Résumé
In this paper, we study an optimal insurance problem for a risk-averse individual who seeks to maximize the rank-dependent expected utility (RDEU) of her terminal wealth, and insurance is priced via a general distortion-deviation premium principle. We prove necessary and sufficient conditions satisfied by the optimal solution and consider three ambiguity orders to further determine the optimal indemnity. Finally, we analyze examples under three distortion-deviation premium principles to explore the specific conditions under which no insurance or deductible insurance is optimal.