Behavioral optimal insurance

<?xml version="1.0" encoding="UTF-8"?><modsCollection xmlns="http://www.loc.gov/mods/v3" xmlns:xsi="http://www.w3.org/2001/XMLSchema-instance" xsi:schemaLocation="http://www.loc.gov/mods/v3 http://www.loc.gov/standards/mods/v3/mods-3-8.xsd">
<mods version="3.8">
<titleInfo>
<title>Behavioral optimal insurance</title>
</titleInfo>
<name type="personal" xmlns:xlink="http://www.w3.org/1999/xlink" xlink:href="MAPA20110031916">
<namePart>Sung, K.C.J.</namePart>
<nameIdentifier>MAPA20110031916</nameIdentifier>
</name>
<typeOfResource>text</typeOfResource>
<genre authority="marcgt">periodical</genre>
<originInfo>
<place>
<placeTerm type="code" authority="marccountry">esp</placeTerm>
</place>
<dateIssued encoding="marc">2011</dateIssued>
<issuance>serial</issuance>
</originInfo>
<language>
<languageTerm type="code" authority="iso639-2b">spa</languageTerm>
</language>
<physicalDescription>
<form authority="marcform">print</form>
</physicalDescription>
<abstract displayLabel="Summary">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. </abstract>
<note type="statement of responsibility">K.C.J. Sung... [et al.]</note>
<subject authority="lcshac" xmlns:xlink="http://www.w3.org/1999/xlink" xlink:href="MAPA20080602437">
<topic>Matemática del seguro</topic>
</subject>
<subject authority="lcshac" xmlns:xlink="http://www.w3.org/1999/xlink" xlink:href="MAPA20080545017">
<topic>Pólizas</topic>
</subject>
<subject authority="lcshac" xmlns:xlink="http://www.w3.org/1999/xlink" xlink:href="MAPA20080582975">
<topic>Teoría matemática</topic>
</subject>
<subject authority="lcshac" xmlns:xlink="http://www.w3.org/1999/xlink" xlink:href="MAPA20090041776">
<topic>Análisis actuarial</topic>
</subject>
<subject authority="lcshac" xmlns:xlink="http://www.w3.org/1999/xlink" xlink:href="MAPA20090039629">
<topic>Riesgo actuarial</topic>
</subject>
<classification authority="">6</classification>
<relatedItem type="host">
<titleInfo>
<title>Insurance : mathematics and economics</title>
</titleInfo>
<originInfo>
<publisher>Oxford : Elsevier, 1990-</publisher>
</originInfo>
<identifier type="issn">0167-6687</identifier>
<identifier type="local">MAP20077100574</identifier>
<part>
<text>01/11/2011 Tomo 49 Número 3  - 2011 , p. 418-428</text>
</part>
</relatedItem>
<recordInfo>
<recordContentSource authority="marcorg">MAP</recordContentSource>
<recordCreationDate encoding="marc">111202</recordCreationDate>
<recordChangeDate encoding="iso8601">20111214123017.0</recordChangeDate>
<recordIdentifier source="MAP">MAP20110070564</recordIdentifier>
<languageOfCataloging>
<languageTerm type="code" authority="iso639-2b">spa</languageTerm>
</languageOfCataloging>
</recordInfo>
</mods>
</modsCollection>