Optimal insurance design under belief-dependent utility and ambiguity (Q6146115)

The paper applies a smooth decision model under ambiguity by the belief-dependent utility (BDU) to obtain the explicit optimal insurance policy for the parties involved in an insurance contract. Following a brief overview of the main features of BDU decision model under ambiguity, the study focuses on the optimal insurance policy for insurer and insured, respectively. Finally, an example demonstrates the potential use of the proposed modeling. The Appendix contains proofs and technical insights.