Pareto-optimal insurance under heterogeneous beliefs and incentive compatibility

DOI10.1080/03461238.2022.2028185MaRDI QIDQ5042790zbMATH OpenOpenAlexFDO

Authors Wenjun Jiang

Publication date 26 October 2022

Published in Scandinavian Actuarial Journal (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/03461238.2022.2028185

zbMATH Keywords

heterogeneous beliefsincentive compatibilitylikelihood ratio functionmarginal indemnity functionoptimal insurance

Mathematics Subject Classification ID

Applications of optimal control and differential games (49N90) Actuarial mathematics (91G05)

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Cites work

• A Neyman-Pearson perspective on optimal reinsurance with constraints
• Arrow's theorem of the deductible with heterogeneous beliefs
• Behavioral optimal insurance
• Bilateral risk sharing with heterogeneous beliefs and exposure constraints
• Budget-constrained optimal insurance with belief heterogeneity
• Budget-constrained optimal reinsurance design under coherent risk measures
• Marginal indemnification function formulation for optimal reinsurance
• Mean-variance insurance design with counterparty risk and incentive compatibility
• On optimal reinsurance policy with distortion risk measures and premiums
• On optimal reinsurance treaties in cooperative game under heterogeneous beliefs
• On the optimality of a straight deductible under belief heterogeneity
• Optimal incentive-compatible insurance with background risk
• Optimal insurance and generalized deductibles
• Optimal insurance design in the presence of exclusion clauses
• Optimal insurance under rank-dependent expected utility
• Optimal insurance under rank-dependent utility and incentive compatibility
• Optimal insurance with background risk: an analysis of general dependence structures
• Optimal insurance with belief heterogeneity and incentive compatibility
• Optimal reinsurance under variance related premium principles
• Pareto efficient insurance contracts when the insurer's cost function is discontinuous
• Utility Functions

Cited in

(15)

• Pareto efficient insurance contracts when the insurer's cost function is discontinuous
• (Neutrally) optimal mechanism under adverse selection: the canonical insurance problem
• Insurance with heterogeneous preferences
• QVI characterization of contingent options in marine mutual insurance
• The Pareto-optimal design of term life insurance contracts
• On the optimality of a straight deductible under belief heterogeneity
• Optimal insurance under rank-dependent utility and incentive compatibility
• Mean-variance insurance design with counterparty risk and incentive compatibility
• Moral-hazard-free insurance: mean-variance premium principle and rank-dependent utility theory
• Demand for insurance with nonadditive probabilistic beliefs
• Optimal insurance for a prudent decision maker under heterogeneous beliefs
• Stackelberg-equilibrium reinsurance contract with heterogeneous beliefs and uncertain parameter
• Bowley solution of a variance game in insurance
• Optimal insurance with belief heterogeneity and incentive compatibility
• Optimal insurance under costly falsification and costly, inexact verification

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