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Behavioral optimal insurance

Recurso electrónico / electronic resource
Registro MARC
Tag12Valor
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001  MAP20110070564
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005  20111214123017.0
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040  ‎$a‎MAP‎$b‎spa‎$d‎MAP
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24510‎$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
7001 ‎$0‎MAPA20110031916‎$a‎Sung, K.C.J.
7730 ‎$w‎MAP20077100574‎$t‎Insurance : mathematics and economics‎$d‎Oxford : Elsevier, 1990-‎$x‎0167-6687‎$g‎01/11/2011 Tomo 49 Número 3 - 2011 , p. 418-428