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An Economic premium principle under the dual theory of the smooth ambiguity model

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<title>Economic premium principle under the dual theory of the smooth ambiguity model</title>
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<name type="personal" xmlns:xlink="http://www.w3.org/1999/xlink" xlink:href="MAPA20170012023">
<namePart>Iwaki, Hideki</namePart>
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<name type="personal" xmlns:xlink="http://www.w3.org/1999/xlink" xlink:href="MAPA20170012030">
<namePart>Osaki, Yusuke</namePart>
<nameIdentifier>MAPA20170012030</nameIdentifier>
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<genre authority="marcgt">periodical</genre>
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<dateIssued encoding="marc">2017</dateIssued>
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<extent>15 p.</extent>
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<abstract displayLabel="Summary">This study considers a pure exchange economy with insurance against ambiguous loss. Ambiguity preferences are represented by the dual theory of the smooth ambiguity model fromIwaki and Osaki (2014). The economic premium principle of Bühlmann (1980, 1984) is extended to ambiguity. We also perform some comparative statics and present sufficient conditions under which an increase in ambiguity aversion increases insurance demand and insurance premiums. Contrary to the result in Tsanakas and Christofides (2006), the optimal demand for insurance is not always comonotonic, because our model permits an economy comprising both ambiguity averse and ambiguity loving agents.</abstract>
<note type="statement of responsibility">Yoichiro Fujii, Hideki Iwaki, Yusuke Osaki</note>
<subject xmlns:xlink="http://www.w3.org/1999/xlink" xlink:href="MAPA20080581886">
<topic>Primas de seguros</topic>
</subject>
<subject xmlns:xlink="http://www.w3.org/1999/xlink" xlink:href="MAPA20080596316">
<topic>Equilibrio económico</topic>
</subject>
<subject xmlns:xlink="http://www.w3.org/1999/xlink" xlink:href="MAPA20080613105">
<topic>Análisis probabilísticos</topic>
</subject>
<classification authority="">212</classification>
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<titleInfo>
<title>Astin bulletin</title>
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<publisher>Belgium : ASTIN and AFIR Sections of the International Actuarial Association</publisher>
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<identifier type="issn">0515-0361</identifier>
<identifier type="local">MAP20077000420</identifier>
<part>
<text>01/09/2017 Volumen 47 Número 3 - septiembre 2017 , p. 787-801</text>
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