returns below aspiration levels take more risks, whereas those with returns above reference levels decrease their risk-seeking, which supports the basic propositions of the cumulative prospect theory (CPT). Given initial evidence of mixed risk preferences in the L/A insurance industry, we derive an annuity insurer's optimal investment and business strategies in a CPT decision-making framework. We show that changing risk preferences considerably affect an annuity provider's decisions. We further illustrate how risk management changes an annuity insurer's optimal strategies. Our results suggest that risk management lowers downside risk and allows a loss-averse decision maker to assume more risk and achieve a higher level of utilityRegistros relacionados: En: North American actuarial journal. - Schaumburg : Society of Actuaries, 1997- = ISSN 1092-0277. - 06/03/2023 Tomo 27 Número 1 - 2023 , 25-46Materia / lugar / evento: Cálculo actuarial Renta vitalicia Gerencia de riesgos Estrategia empresarial Toma de decisiones Otros autores: Lin, Yijia
Zhou, Ming
Outras classificações: 6