Bernard, Carole; Ji, Shaolin; Tian, Weidong - In: Decisions in Economics and Finance 36 (2013) 2, pp. 99-124
This paper solves an optimal insurance design problem in which both the insurer and the insured are subject to Knightian uncertainty about the loss distribution. The Knightian uncertainty is modeled in a multi-prior g-expectation framework. We obtain an endogenous characterization of the optimal...