Behavioral optimal insurance

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<dc:creator>Sung, K.C.J.</dc:creator>
<dc:date>2011-11-01</dc:date>
<dc:description xml:lang="es">Sumario: The present work studies the optimal insurance policy offered by an insurer adopting a proportional premium principice 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 rate, the optimal insurance policy is a generalized insurance layer (that is, either an insurance layer or a stop-loss insurance). This optimal insurance decision problem is resolved by first converting it into three different sub-problems similar to those in jin and Zhou (2008); however, as we now demand a more regular optimal solution, a completely different approach has been developed to tackle them. When the premium is regarded as a decision variable and there is no risk loading, the optimal indemnity schedule in this form has no deductibles but a cap; further results also suggests that the deductible amount will be reduced if the risk loading is decreased. As a whole, our paper provides a theoretical explanation for the popularity of limited coverage insurance policies in the market as observed by many socio-economists, which serves as a mathematical bridge between behavioral finance and actuarial science. </dc:description>
<dc:identifier>https://documentacion.fundacionmapfre.org/documentacion/publico/es/bib/135157.do</dc:identifier>
<dc:language>spa</dc:language>
<dc:rights xml:lang="es">InC - http://rightsstatements.org/vocab/InC/1.0/</dc:rights>
<dc:subject xml:lang="es">Matemática del seguro</dc:subject>
<dc:subject xml:lang="es">Pólizas</dc:subject>
<dc:subject xml:lang="es">Teoría matemática</dc:subject>
<dc:subject xml:lang="es">Análisis actuarial</dc:subject>
<dc:subject xml:lang="es">Riesgo actuarial</dc:subject>
<dc:type xml:lang="es">Artículos y capítulos</dc:type>
<dc:title xml:lang="es">Behavioral optimal insurance</dc:title>
<dc:relation xml:lang="es">En: Insurance : mathematics and economics. - Oxford : Elsevier, 1990- = ISSN 0167-6687. - 01/11/2011 Tomo 49 Número 3  - 2011 , p. 418-428</dc:relation>
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