Behavioral optimal insurance
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| Tag | 1 | 2 | Valor |
|---|---|---|---|
| LDR | 00000cab a2200000 4500 | ||
| 001 | MAP20110070564 | ||
| 003 | MAP | ||
| 005 | 20111214123017.0 | ||
| 008 | 111202e20111101esp|||p |0|||b|spa d | ||
| 040 | $aMAP$bspa$dMAP | ||
| 084 | $a6 | ||
| 245 | 1 | 0 | $aBehavioral optimal insurance$cK.C.J. Sung... [et al.] |
| 520 | $aThe 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. | ||
| 650 | 1 | $0MAPA20080602437$aMatemática del seguro | |
| 650 | 1 | $0MAPA20080545017$aPólizas | |
| 650 | 1 | $0MAPA20080582975$aTeoría matemática | |
| 650 | 1 | $0MAPA20090041776$aAnálisis actuarial | |
| 650 | 1 | $0MAPA20090039629$aRiesgo actuarial | |
| 700 | 1 | $0MAPA20110031916$aSung, K.C.J. | |
| 773 | 0 | $wMAP20077100574$tInsurance : mathematics and economics$dOxford : Elsevier, 1990-$x0167-6687$g01/11/2011 Tomo 49 Número 3 - 2011 , p. 418-428 |