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Optimal insurance contracts under distortion risk measures with ambiguity aversion
Recurso electrónico / Electronic resource
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040  ‎$a‎MAP‎$b‎spa‎$d‎MAP
084  ‎$a‎6
100  ‎$0‎MAPA20200013396‎$a‎Jiang, Wenjun ‌
24510‎$a‎Optimal insurance contracts under distortion risk measures with ambiguity aversion‎$c‎Wenjun Jiang, Marcos Escobar-Anel, Jiandong Ren
520  ‎$a‎This paper presents analytical representations for an optimal insurance contract under distortion risk measure and in the presence of model uncertainty. We incorporate ambiguity aversion and distortion risk measure through the model of Robert and Therond. Explicit optimal insurance indemnity functions are derived when the decision maker (DM) applies Value-at-Risk as risk measure and is ambiguous about the loss distribution. Our results show that: (1) undermodel uncertainty, ambiguity aversion results in a distorted probability distribution over the set of possible models with a bias in favor of the model which yields a larger risk; (2) a more ambiguity-averse DM would demand more insurance coverage; (3) for a given budget, uncertainties about the loss distribution result in higher risk level for the DM.
650 4‎$0‎MAPA20080584290‎$a‎Contrato de seguro ‌
650 4‎$0‎MAPA20080592011‎$a‎Modelos actuariales ‌
650 4‎$0‎MAPA20080579258‎$a‎Cálculo actuarial ‌
650 4‎$0‎MAPA20080572396‎$a‎Indemnizaciones ‌
650 4‎$0‎MAPA20080604394‎$a‎Valoración de riesgos ‌
7001 ‎$0‎MAPA20200013488‎$a‎Escobar-Anel, Marcos ‌
700  ‎$0‎MAPA20080653613‎$a‎Ren, Jiandong ‌
7730 ‎$w‎MAP20077000420‎$t‎Astin bulletin‎$d‎Belgium : ASTIN and AFIR Sections of the International Actuarial Association‎$x‎0515-0361‎$g‎01/05/2020 Volumen 50 Número 2 - mayo 2020 , p. 619-646