Optimal insurance without expected utility: The dual theory and the linearity of insurance contracts

DOI10.1007/BF01083558zbMath0847.90036MaRDI QIDQ1916300

Neil A. Doherty, Louis R. Eeckhoudt

Publication date: 13 October 1996

Published in: Journal of Risk and Uncertainty (Search for Journal in Brave)

zbMATH Keywords

nonlinearitiesexpected utilityrank dependenceinsurance marketsinsolvencydual theoryinsurance linear contractsoptimal insurance contracts

Mathematics Subject Classification ID

Related Items (20)

Optimality of deductible: a characterization, with application to Yaari's dual theory ⋮ Mean-risk analysis with enhanced behavioral content ⋮ A simple model of cumulative prospect theory ⋮ Linear cumulative prospect theory with applications to portfolio selection and insurance demand ⋮ An optimal insurance design problem under Knightian uncertainty ⋮ Optimal Dynamic Reinsurance Under Heterogeneous Beliefs and CARA Utility ⋮ Optimal insurance design under mean-variance preference with narrow framing ⋮ Optimal insurance under rank-dependent expected utility ⋮ Using Choquet integral in economics ⋮ Dynamic Portfolio Choice with Stochastic Wage and Life Insurance ⋮ Arrow's Theorem of the Deductible with Heterogeneous Beliefs ⋮ DISTORTION RISK MEASURES, AMBIGUITY AVERSION AND OPTIMAL EFFORT ⋮ OPTIMAL INSURANCE DESIGN UNDER RANK‐DEPENDENT EXPECTED UTILITY ⋮ Optimal insurance contract and coverage levels under loss aversion utility preference ⋮ Solvency II, regulatory capital, and optimal reinsurance: how good are conditional value-at-risk and spectral risk measures? ⋮ The design of equity-indexed annuities ⋮ Designing and pricing menus of extended warranty contracts ⋮ Prevention efforts, insurance demand and price incentives under coherent risk measures ⋮ Ambiguity on the insurer's side: the demand for insurance ⋮ Lorenz and Excess Wealth Orders, with Applications in Reinsurance Theory

Cites Work

• Anticipated utility: A measure representation approach
• Utility theory with probability-dependent outcome valuation
• A model of insurance markets with incomplete information
• Prospect Theory: An Analysis of Decision under Risk
• The Dual Theory of Choice under Risk
• On Moral Hazard and Insurance
• Equilibrium in a Reinsurance Market

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