Optimal insurance to maximize RDEU under a distortion-deviation premium principle (Q2138615)

The paper investigates an optimal insurance problem for a risk-averse individual who aims to maximize the rank-dependent expected utility (RDEU) of the terminal wealth, under the hypothesis that the insurance is priced via a general distortion-deviation premium principle. After presenting the guidelines of the model, where the buyer's problem is considered under rank-dependent expected utility, the existence of an optimal indemnity is proven, as well as a necessary and sufficient conditions for its uniqueness.