Budget-constrained optimal insurance without the nonnegativity constraint on indemnities

DOI10.1016/j.insmatheco.2018.10.004zbMath1419.91365OpenAlexW2901108968MaRDI QIDQ1757606

Mario Ghossoub

Publication date: 15 January 2019

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/10012/14356

zbMATH Keywords

Choquet integralambiguityKnightian uncertaintynon-additive probabilityprobability distortionoptimal insurancenonnegativity constraintdeductible contract

Mathematics Subject Classification ID

Related Items (8)

Comparative risk aversion in RDEU with applications to optimal underwriting of securities issuance ⋮ Optimal reinsurance with multiple reinsurers: distortion risk measures, distortion premium principles, and heterogeneous beliefs ⋮ Optimal robust insurance with a finite uncertainty set ⋮ Worst-case moments under partial ambiguity ⋮ Optimal insurance for a prudent decision maker under heterogeneous beliefs ⋮ On the existence of a representative reinsurer under heterogeneous beliefs ⋮ Budget-constrained optimal retention with an upper limit on the retained loss ⋮ Optimal insurance with belief heterogeneity and incentive compatibility

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