Optimal insurance contract and coverage levels under loss aversion utility preference

DOI10.1080/14697688.2011.564200zbMath1279.91100OpenAlexW2017089488MaRDI QIDQ5745633

Ching-Ping Wang, Hung-Hsi Huang

Publication date: 30 January 2014

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

Full work available at URL: https://doi.org/10.1080/14697688.2011.564200

zbMATH Keywords

utility functionsrisk managementinsurance mathematicseconomics of riskinsurance related productseconomics of insuranceinsurance science

Mathematics Subject Classification ID

Related Items (3)

Prospect theory–based portfolio optimization: an empirical study and analysis using intelligent algorithms ⋮ The optimal insurance under disappointment theories ⋮ The bounds of premium and optimality of stop loss insurance under uncertain random environments

Cites Work

• Asset pricing with loss aversion
• Optimal insurance under the insurer's risk constraint
• Advances in prospect theory: cumulative representation of uncertainty
• Pareto efficient insurance contracts when the insurer's cost function is discontinuous
• Optimal insurance with divergent beliefs about insurer total default risk
• Optimal insurance without expected utility: The dual theory and the linearity of insurance contracts
• Prospect Theory and Asset Prices
• Prospect Theory: An Analysis of Decision under Risk
• Myopic Loss Aversion and the Equity Premium Puzzle

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