Moral-hazard-free insurance: mean-variance premium principle and rank-dependent utility theory
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Cites work
- A new characterization of comonotonicity and its application in behavioral finance
- A note on the quantile formulation
- A numerical approach for a class of risk-sharing problems
- A robust Markowitz mean-variance portfolio selection model with an intractable claim
- Advances in prospect theory: cumulative representation of uncertainty
- Arrow-Debreu equilibria for rank-dependent utilities
- BEHAVIORAL PORTFOLIO SELECTION IN CONTINUOUS TIME
- Dynamic Optimal Reinsurance and Dividend Payout in Finite Time Horizon
- Dynamic portfolio choice when risk is measured by weighted VaR
- scientific article; zbMATH DE number 5299204 (Why is no real title available?)
- Insurer's optimal reinsurance strategies
- Le Comportement de l'Homme Rationnel devant le Risque: Critique des Postulats et Axiomes de l'Ecole Americaine
- On convex principles of premium calculation
- Optimal insurance design under rank-dependent expected utility
- Optimal insurance under rank-dependent utility and incentive compatibility
- Optimal non-proportional reinsurance control
- Optimal reinsurance under mean-variance premium principles
- Optimal reinsurance under the mean-variance premium principle to minimize the probability of ruin
- Optimal risk sharing with background risk
- Optimal risk-sharing rules and equilibria with Choquet-expected-utility.
- Optimal stopping under probability distortion
- Portfolio choice via quantiles
- Risk management with weighted VaR
- Risk, ambiguity and the Savage axioms
- The Dual Theory of Choice under Risk
- Two-persons efficient risk-sharing and equilibria for concave law-invariant utilities
Cited in
(13)- Medical insurance with rank-dependent utility
- Optimal insurance under rank-dependent expected utility
- An insurance theory based optimal cyber-insurance contract against moral hazard
- scientific article; zbMATH DE number 764442 (Why is no real title available?)
- Optimal insurance design under rank-dependent expected utility
- Optimal insurance under rank-dependent utility and incentive compatibility
- Robust utility maximisation with intractable claims
- Why Changes in PBGC and FDIC Premiums Should Not Fully Reflect Changes in Underlying Risk (With Some Application to Long-Term Private Insurance Contracts)
- Variance insurance contracts
- Moral hazard in loss reduction and state-dependent utility
- Dynamic reinsurance design with heterogeneous beliefs under the mean-variance framework
- Credibility Theory for Variance Premium Principle
- Insurance demand under government interventions and distorted probabilities
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