摘要翻译:
本文研究了当被保险人对模糊性敏感且按Gilboa和Schmeidler(1989)的最大期望效用模型行为,而保险人是(风险厌恶或风险中性)期望效用最大化者时的保险赔偿需求问题。我们刻画了具有和不具有事先不破坏条件的最优补偿函数,以及两个代理人的凹效用函数和线性效用函数。这使我们能够提供一个统一的框架,在这个框架中,我们检验了不破坏条件、财富的边际效用、信念异质性以及模糊性(先验的多重性)对最优赔偿函数结构的影响。特别地,我们证明了信念的奇异性如何导致一个最优赔偿函数,在一个事件上,保险人给出的是零概率,而决策者给出的是正概率,该函数涉及到完全保险。我们考察了几个说明性的例子,并对Wasserstein和Renyi模糊集的情况进行了数值研究。
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英文标题:
《Optimal Insurance under Maxmin Expected Utility》
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作者:
Corina Birghila and Tim J. Boonen and Mario Ghossoub
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最新提交年份:
2020
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分类信息:
一级分类:Quantitative Finance 数量金融学
二级分类:Risk Management 风险管理
分类描述:Measurement and management of financial risks in trading, banking, insurance, corporate and other applications
衡量和管理贸易、银行、保险、企业和其他应用中的金融风险
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一级分类:Economics 经济学
二级分类:Theoretical Economics 理论经济学
分类描述:Includes theoretical contributions to Contract Theory, Decision Theory, Game Theory, General Equilibrium, Growth, Learning and Evolution, Macroeconomics, Market and Mechanism Design, and Social Choice.
包括对契约理论、决策理论、博弈论、一般均衡、增长、学习与进化、宏观经济学、市场与机制设计、社会选择的理论贡献。
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一级分类:Quantitative Finance 数量金融学
二级分类:Mathematical Finance 数学金融学
分类描述:Mathematical and analytical methods of finance, including stochastic, probabilistic and functional analysis, algebraic, geometric and other methods
金融的数学和分析方法,包括随机、概率和泛函分析、代数、几何和其他方法
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英文摘要:
We examine a problem of demand for insurance indemnification, when the insured is sensitive to ambiguity and behaves according to the Maxmin-Expected Utility model of Gilboa and Schmeidler (1989), whereas the insurer is a (risk-averse or risk-neutral) Expected-Utility maximizer. We characterize optimal indemnity functions both with and without the customary ex ante no-sabotage requirement on feasible indemnities, and for both concave and linear utility functions for the two agents. This allows us to provide a unifying framework in which we examine the effects of the no-sabotage condition, marginal utility of wealth, belief heterogeneity, as well as ambiguity (multiplicity of priors) on the structure of optimal indemnity functions. In particular, we show how the singularity in beliefs leads to an optimal indemnity function that involves full insurance on an event to which the insurer assigns zero probability, while the decision maker assigns a positive probability. We examine several illustrative examples, and we provide numerical studies for the case of a Wasserstein and a Renyi ambiguity set.
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PDF链接:
https://arxiv.org/pdf/2010.07383