OPTIMAL INSURANCE DESIGN UNDER RANK‐DEPENDENT EXPECTED UTILITY

DOI10.1111/mafi.12027zbMath1314.91134OpenAlexW3123358931MaRDI QIDQ5175226

Carole Bernard, Jia'an Yan, Xue Dong He, Xun Yu Zhou

Publication date: 20 February 2015

Published in: Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/mafi.12027

zbMATH Keywords

rank-dependent expected utilitydeductiblequantile formulationoptimal insurance designindemnityinverse-S shaped probability distortion

Mathematics Subject Classification ID

Utility theory (91B16)

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