Budget-constrained optimal insurance with belief heterogeneity

DOI10.1016/j.insmatheco.2019.09.002zbMath1427.91229OpenAlexW2976790611WikidataQ127181868 ScholiaQ127181868MaRDI QIDQ2010896

Mario Ghossoub

Publication date: 28 November 2019

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

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2019.09.002

zbMATH Keywords

monotone likelihood ratioheterogeneous beliefsdeductibleoptimal insurancemonotone hazard ratioretention function

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Actuarial mathematics (91G05)

Related Items (16)

Optimal reinsurance designs based on risk measures: a review ⋮ Pareto-optimal insurance under heterogeneous beliefs and incentive compatibility ⋮ Optimal reinsurance with multiple reinsurers: distortion risk measures, distortion premium principles, and heterogeneous beliefs ⋮ Insurance pricing in an equilibrium model ⋮ Optimal reinsurance with general premium principles based on RVaR and WVaR ⋮ Pareto-optimal insurance with an upper limit on the insurer's exposure ⋮ Multi-constrained optimal reinsurance model from the duality perspectives ⋮ Worst-case moments under partial ambiguity ⋮ Optimal insurance for a prudent decision maker under heterogeneous beliefs ⋮ Optimal insurance under maxmin expected utility ⋮ Pareto-optimal insurance contracts with premium budget and minimum charge constraints ⋮ Budget-constrained optimal insurance without the nonnegativity constraint on indemnities ⋮ Budget-constrained optimal retention with an upper limit on the retained loss ⋮ BILATERAL RISK SHARING WITH HETEROGENEOUS BELIEFS AND EXPOSURE CONSTRAINTS ⋮ Optimal insurance with belief heterogeneity and incentive compatibility ⋮ MEAN–VARIANCE INSURANCE DESIGN WITH COUNTERPARTY RISK AND INCENTIVE COMPATIBILITY

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