Disappointment aversion premium principle

DOI10.1017/ASB.2015.12MaRDI QIDQ4563754zbMATH OpenOpenAlexFDO

Authors

Publication date 4 June 2018

Published in ASTIN Bulletin (Search for Journal in Brave)

Full work available at URL https://ap01.alma.exlibrisgroup.com/view/delivery/61USOUTHAUS_INST/12142894470001831

zbMATH Keywords

explicit representationscapital reserve regulatory requirementdisappointment aversion theoryequivalent utility premium principlegeneralized Arrow-Pratt approximation

Mathematics Subject Classification ID

Utility theory (91B16)

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Cited in

(6)

• An explicit representation for disappointment aversion and other betweenness preferences
• A constraint-free approach to optimal reinsurance
• Optimal reinsurance and investment strategy with two piece utility function
• The tradeoff insurance premium as a two-sided generalisation of the distortion premium
• The impact of quantity commitment with disappointment-averse and elation-seeking consumers
• The optimal insurance under disappointment theories

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