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Behavioral optimal insurance

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<title>Behavioral optimal insurance</title>
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<name type="personal" xmlns:xlink="http://www.w3.org/1999/xlink" xlink:href="MAPA20110031916">
<namePart>Sung, K.C.J.</namePart>
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<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>
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<topic>Análisis actuarial</topic>
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<topic>Riesgo actuarial</topic>
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<title>Insurance : mathematics and economics</title>
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<publisher>Oxford : Elsevier, 1990-</publisher>
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<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>
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