Budget-constrained optimal insurance with belief heterogeneity

DOI10.1016/J.INSMATHECO.2019.09.002zbMATH Open1427.91229OpenAlexW2976790611WikidataQ127181868 ScholiaQ127181868MaRDI QIDQ2010896FDOQ2010896

Authors: Mario Ghossoub 

Publication date: 28 November 2019

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

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2019.09.002

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zbMATH Keywords

deductibleheterogeneous beliefsmonotone likelihood ratiooptimal insurancemonotone hazard ratioretention function

Mathematics Subject Classification ID

Actuarial mathematics (91G05) Applications of statistics to actuarial sciences and financial mathematics (62P05)

Cites Work

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• ON THE OPTIMALITY OF A STRAIGHT DEDUCTIBLE UNDER BELIEF HETEROGENEITY
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Cited In (19)

• Budget-constrained optimal retention with an upper limit on the retained loss
• Pareto-optimal insurance contracts with premium budget and minimum charge constraints
• Pareto-optimal insurance under heterogeneous beliefs and incentive compatibility
• Optimal reinsurance designs based on risk measures: a review
• Optimal insurance with divergent beliefs about insurer total default risk
• Multi-constrained optimal reinsurance model from the duality perspectives
• Optimal insurance under costly falsification and costly, inexact verification
• Optimal insurance under maxmin expected utility
• MEAN–VARIANCE INSURANCE DESIGN WITH COUNTERPARTY RISK AND INCENTIVE COMPATIBILITY
• Optimal reinsurance with multiple reinsurers: distortion risk measures, distortion premium principles, and heterogeneous beliefs
• Worst-case moments under partial ambiguity
• BILATERAL RISK SHARING WITH HETEROGENEOUS BELIEFS AND EXPOSURE CONSTRAINTS
• Optimal insurance for a prudent decision maker under heterogeneous beliefs
• Insurance pricing in an equilibrium model
• Optimal insurance with belief heterogeneity and incentive compatibility
• Optimal reinsurance with general premium principles based on RVaR and WVaR
• Demand for insurance with nonadditive probabilistic beliefs
• Budget-constrained optimal insurance without the nonnegativity constraint on indemnities
• Pareto-optimal insurance with an upper limit on the insurer's exposure

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