Optimal insurance to maximize RDEU under a distortion-deviation premium principle
نویسندگان
چکیده
In this paper, we study an optimal insurance problem for a risk-averse individual who seeks to maximize the rank-dependent expected utility (RDEU) of her terminal wealth, and is priced via general distortion-deviation premium principle. We prove necessary sufficient conditions satisfied by solution consider three orders between distortion functions buyer seller further determine indemnity. Finally, analyze examples under principles explore specific which no or deductible optimal.
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ژورنال
عنوان ژورنال: Insurance Mathematics & Economics
سال: 2022
ISSN: ['0167-6687', '1873-5959']
DOI: https://doi.org/10.1016/j.insmatheco.2022.01.007