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- W3124501120 abstract "This paper studies a new type of quantile optimization problems arising from insurance contract design models. This type of optimization problems is characterized by a constraint of emph{infinity}-dimension, that is, the derivatives of the decision quantile functions are bounded. Such a constraint essentially comes from the incentive compatibility constraint for any optimal insurance contract to avoid the potential severe problem of moral hazard in insurance contract design models. By a further development of the author's relaxation method, this paper provides a systemic approach to solving this new type of quantile optimization problems. The optimal quantile is expressed via the solution of a free boundary problem for a second-order nonlinear ordinary differential equation (ODE), which is similar to the Black-Scholes ODE for perpetual American options and has been well studied in literature theoretically and numerically." @default.
- W3124501120 created "2021-02-01" @default.
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- W3124501120 date "2018-03-01" @default.
- W3124501120 modified "2023-09-27" @default.
- W3124501120 title "Quantile optimization under derivative constraint" @default.
- W3124501120 hasPublicationYear "2018" @default.
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