Optimal insurance with belief heterogeneity and incentive compatibility

DOI10.1016/j.insmatheco.2020.03.006zbMath1445.91052OpenAlexW3011972235MaRDI QIDQ784399

Yichun Chi, Sheng Chao Zhuang

Publication date: 3 August 2020

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

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2020.03.006

zbMATH Keywords

incentive compatibilitymonotone likelihood ratio orderbelief heterogeneityoptimal insurance designpartial insurance over a layer

Mathematics Subject Classification ID

Actuarial mathematics (91G05)

Related Items (15)

A hybrid model of optimal reinsurance: a discussion of ‘Optimal reinsurance designs based on risk measures: a review’ by Jun Cai and Yichun Chi ⋮ Pareto-optimal insurance under heterogeneous beliefs and incentive compatibility ⋮ Distributionally Robust Goal-Reaching Optimization in the Presence of Background Risk ⋮ Optimal insurance to maximize RDEU under a distortion-deviation premium principle ⋮ Revisiting the optimal insurance design under adverse selection: distortion risk measures and tail-risk overestimation ⋮ Pareto-optimal reinsurance policies with maximal synergy ⋮ Optimal Dynamic Reinsurance Under Heterogeneous Beliefs and CARA Utility ⋮ The effect of risk constraints on the optimal insurance policy ⋮ Optimal insurance design under mean-variance preference with narrow framing ⋮ Insurance pricing in an equilibrium model ⋮ Pareto-optimal reinsurance under individual risk constraints ⋮ Bilateral risk sharing in a comonotone market with rank-dependent utilities ⋮ Pareto-optimal reinsurance with default risk and solvency regulation ⋮ Optimal insurance for a prudent decision maker under heterogeneous beliefs ⋮ MEAN–VARIANCE INSURANCE DESIGN WITH COUNTERPARTY RISK AND INCENTIVE COMPATIBILITY

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