In the classical expected utility framework, a problem of optimal insurance design with a premium constraint is equivalent to a problem of optimal insurance design with a minimum expected retention constraint. When the insurer has ambiguous beliefs represented by a non-additive probability...

In the classical expected utility framework, a problem of optimal insurance design with a premium constraint is equivalent to a problem of optimal insurance design with a minimum expected retention constraint. When the insurer has ambiguous beliefs represented by a non-additive probability...

This paper studies bilateral risk-sharing with no aggregate uncertainty, when agents maximize rank-dependent utilities. We characterize the structure of Pareto optimal risk-sharing contracts in full generality. We then derive a necessary and sufficient condition for Pareto optima to be...

Unlike sophisticated institutional insurance buyers, individual insurance seekers often use simple heuristic tools for risk management purposes, such as requiring that an insurance arrangement will not result in a retained loss that exceeds a certain predetermined and fixed level. In this paper,...

We re-examine the problem of budget-constrained demand for insurance indemnification when the insured and the insurer disagree about the likelihoods associated with the realizations of the insurable loss. For ease of comparison with the classical literature, we adopt the original setting of...

We re-visit the problem of optimal insurance design under Rank-Dependent Expected Utility (RDEU) examined by Bernard et al. (2015), Xu (2018), and Xu et al. (2015). Unlike the latter, we do not impose the no sabotage condition on admissible indemnities, that is, the comonotonicity of indemnity...

Arrow's classical result on the optimality of the deductible indemnity schedule holds in a situation where the insurer is a risk-neutral Expected-Utility (EU) maximizer, the insured is a risk-averse EU-maximizer, and the two parties share the same probabilistic beliefs about the realizations of...

In the classical Expected-Utility framework, a problem of optimal insurance design with a premium constraint is equivalent to a problem of optimal insurance design with a minimum expected retention constraint. When the insurer has ambiguous beliefs represented by a non-additive probability...

In Arrow's classical problem of demand for insurance indemnity schedules, it is well-known that the optimal insurance indemnification for an insurance buyer - or decision maker (DM) - is a deductible contract, when the insurer is a risk-neutral Expected-Utility (EU) maximizer and when the DM is...

This paper studies bilateral risk sharing under no aggregate uncertainty, where one agent has Expected-Utility preferences and the other agent has Rank-Dependent Utility preferences with a general probability distortion function. We impose exogenous constraints on the risk exposure for both...