Optimal insurance to maximize RDEU under a distortion-deviation premium principle
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Publication:2138615
DOI10.1016/j.insmatheco.2022.01.007zbMath1492.91304arXiv2107.02656OpenAlexW3182344687MaRDI QIDQ2138615
Virginia R. Young, Xiaoqing Liang, Ruodu Wang
Publication date: 12 May 2022
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/2107.02656
rank-dependent expected utilitydeductible insuranceoptimal insurance designdistortion-deviation premium principle
Related Items (4)
Optimal insurance design under mean-variance preference with narrow framing ⋮ Optimal reinsurance with general premium principles based on RVaR and WVaR ⋮ Bilateral risk sharing in a comonotone market with rank-dependent utilities ⋮ Bounds for Gini's mean difference based on first four moments, with some applications
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