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• W2299773574 abstract "In the classical expected utility framework, a problem of optimal insurance design with a premium constraint is equivalent to a problem of optimal insurance design with a minimum expected retention constraint. When the insurer has ambiguous beliefs represented by a non-additive probability measure, as in Schmeidler, this equivalence no longer holds. Recently, Amarante, Ghossoub and Phelps examined the problem of optimal insurance design with a premium constraint when the insurer has ambiguous beliefs. In particular, they showed that when the insurer is ambiguity-seeking, with a concave distortion of the insured’s probability measure, then the optimal indemnity schedule is a state-contingent deductible schedule, in which the deductible depends on the state of the world only through the insurer’s distortion function. In this paper, we examine the problem of optimal insurance design with a minimum expected retention constraint, in the case where the insurer is ambiguity-seeking. We obtain the aforementioned result of Amarante, Ghossoub and Phelps and the classical result of Arrow as special cases." @default.
• W2299773574 created "2016-06-24" @default.
• W2299773574 creator A5043008282 @default.
• W2299773574 creator A5087008178 @default.
• W2299773574 date "2016-03-21" @default.
• W2299773574 modified "2023-10-02" @default.
• W2299773574 title "Optimal Insurance for a Minimal Expected Retention: The Case of an Ambiguity-Seeking Insurer" @default.
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• W2299773574 doi "https://doi.org/10.3390/risks4010008" @default.
• W2299773574 hasPublicationYear "2016" @default.
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