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

 
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<dc:creator>Fujii, Yoichiro</dc:creator>
<dc:creator>Iwaki, Hideki</dc:creator>
<dc:creator>Osaki, Yusuke</dc:creator>
<dc:date>2017-05-30</dc:date>
<dc:description xml:lang="es">Sumario: 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.</dc:description>
<dc:identifier>https://documentacion.fundacionmapfre.org/documentacion/publico/es/bib/161826.do</dc:identifier>
<dc:language>eng</dc:language>
<dc:rights xml:lang="es">InC - http://rightsstatements.org/vocab/InC/1.0/</dc:rights>
<dc:subject xml:lang="es">Primas de seguros</dc:subject>
<dc:subject xml:lang="es">Equilibrio económico</dc:subject>
<dc:subject xml:lang="es">Análisis probabilísticos</dc:subject>
<dc:type xml:lang="es">Artículos y capítulos</dc:type>
<dc:title xml:lang="es">An Economic premium principle under the dual theory of the smooth ambiguity model</dc:title>
<dc:format xml:lang="es">15 p.</dc:format>
<dc:relation xml:lang="es">En: Astin bulletin. - Belgium : ASTIN and AFIR Sections of the International Actuarial Association = ISSN 0515-0361. - 01/09/2017 Volumen 47 Número 3 - septiembre 2017 , p. 787-801</dc:relation>
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