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Ambiguity on the insurer's side : the demand for insurance

Amarante, Massimiliano; Ghossoub, Mario; Phelps, Edmund S. - In: Journal of mathematical economics 58 (2015), pp. 61-78

Persistent link: https://www.econbiz.de/10011573392

Optimal insurance for a minimal expected retention : the case of an ambiguity-seeking insurer

Amarante, Massimiliano; Ghossoub, Mario - In: Risks : open access journal 4 (2016) 1, pp. 1-27

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...

Persistent link: https://www.econbiz.de/10011443689

A representation of risk measures

Amarante, Massimiliano - 2013

Persistent link: https://www.econbiz.de/10010230249

A representation of risk measures

Amarante, Massimiliano - In: Decisions in economics and finance : DEF ; a journal of … 39 (2016) 1, pp. 95-103

Persistent link: https://www.econbiz.de/10011451666

Analogy in decision making

Amarante, Massimiliano - In: Mathematics of operations research 40 (2015) 4, pp. 1027-1041

Persistent link: https://www.econbiz.de/10011409045

Information and ambiguity : toward a foundation of nonexpected utility

Amarante, Massimiliano - In: Mathematics of operations research 42 (2017) 4, pp. 1254-1279

Persistent link: https://www.econbiz.de/10011773318

Optimal insurance for a minimal expected retention: The case of an ambiguity-seeking insurer

Amarante, Massimiliano; Ghossoub, Mario - In: Risks 4 (2016) 1, pp. 1-27

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...

Persistent link: https://www.econbiz.de/10011709546

Vigilant measures of risk and the demand for contingent claims

Ghossoub, Mario - In: Insurance / Mathematics & economics 61 (2015), pp. 27-35

Persistent link: https://www.econbiz.de/10010515937

Equimeasurable rearrangements with capacities

Ghossoub, Mario - In: Mathematics of operations research 40 (2015) 2, pp. 429-445

Persistent link: https://www.econbiz.de/10011282696

Cost-efficient contingent claims with market frictions

Ghossoub, Mario - In: Mathematics and financial economics 10 (2016) 1, pp. 87-111

Persistent link: https://www.econbiz.de/10011446032

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