Sung, K.C.J.; Yam, S.C.P.; Yung, S.P.; Zhou, J.H. - In: Insurance: Mathematics and Economics 49 (2011) 3, pp. 418-428
The present work studies the optimal insurance policy offered by an insurer adopting a proportional premium principle to an insured whose decision-making behavior is modeled by Kahneman and Tversky’s Cumulative Prospect Theory with convex probability distortions. We show that, under a fixed...