Pareto-optimal insurance with an upper limit on the insurer's exposure

DOI10.1080/03461238.2023.2239533OpenAlexW4385309477MaRDI QIDQ6127098

Unnamed Author, Mario Ghossoub, Unnamed Author

Publication date: 10 April 2024

Published in: Scandinavian Actuarial Journal (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03461238.2023.2239533

zbMATH Keywords

Pareto efficiencyheterogeneous beliefsupper limitoptimal insurancedistortion premium principles

Mathematics Subject Classification ID

Actuarial mathematics (91G05)

Cites Work

• Stochastic finance. An introduction in discrete time.
• The optimal insurance under disappointment theories
• Optimal insurance in the presence of insurer's loss limit
• Two-persons efficient risk-sharing and equilibria for concave law-invariant utilities
• Optimal insurance under the insurer's risk constraint
• Weighted risk capital allocations
• Axiomatic characterization of insurance prices
• Budget-constrained optimal insurance with belief heterogeneity
• Optimal insurance under rank-dependent expected utility
• The Probability Weighting Function
• The Dual Theory of Choice under Risk
• Budget-constrained optimal retention with an upper limit on the retained loss
• Weighted Pricing Functionals With Applications to Insurance
• Equimeasurable Rearrangements with Capacities
• Rank-Dependent Utility and Risk Taking in Complete Markets
• A NOTE ON THE QUANTILE FORMULATION

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