Behavioral optimal insurance

The present work studies the optimal insurance policy offered by an insurer adopting a proportional premium principle to an insured whose decision-making behavior is modeled by Kahneman and Tversky’s Cumulative Prospect Theory with convex probability distortions. We show that, under a fixed premium...

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Veröffentlicht in:	Insurance, mathematics & economics mathematics & economics, 2011-11, Vol.49 (3), p.418-428
Hauptverfasser:	Sung, K.C.J., Yam, S.C.P., Yung, S.P., Zhou, J.H.
Format:	Artikel
Sprache:	eng
Schlagworte:	Behavioral finance Behavioural economics Cumulative prospect theory Decision making Decision making models Generalized insurance layer Insurance Insurance policies Insurance premiums Non-convex optimization Optimal insurance Optimal insurance Behavioral finance Cumulative prospect theory Non-convex optimization Generalized insurance layer Optimization techniques Probability Risk Studies
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