Moral-hazard-free insurance: mean-variance premium principle and rank-dependent utility theory

DOI10.1080/03461238.2022.2092892OpenAlexW4284958645WikidataQ114100482 ScholiaQ114100482MaRDI QIDQ5887319

Zuo Quan Xu

Publication date: 18 April 2023

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

Full work available at URL: https://arxiv.org/abs/2108.06940

zbMATH Keywords

rank-dependent utility theoryoptimal insurancequantile optimizationmean-variance premium principlemoral-hazard-free insurance

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Applications of optimal control and differential games (49N90) Utility theory (91B16) Actuarial mathematics (91G05) Contract theory (moral hazard, adverse selection) (91B41)

Related Items (1)

Robust utility maximisation with intractable claims

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