-dependent expected utility (RDEU) theory with a concave utility function and an inverse-S shaped probability distortion function. This …

. This allows us to understand the joint effect of insolvency risk and background risk on optimal contracts. The results may … shed light on the aggregate risk retention schedules observed in catastrophe reinsurance markets, and can assist in the …

contributions in insurance economics since that time. The review begins with the role of utility, risk, and risk aversion in the …

insurance player may get. The classical problem investigates the ideal contract under the assumption that the underlying risk … distribution is known, i.e. by ignoring the parameter and model risks. Taking these sources of risk into account, the decision …-maker aims to identify a robust optimal contract that is not sensitive to the chosen risk distribution. We focus on Value-at-Risk …

comparative statics. In a binary-risk model, probability weighting predicts higher demand than EU alone, explaining commonly …-impact risks or for insurance contracts exposed to nonperformance risk …

Consumers face many decisions involving risk, yet some researchers claim that consumers cannot make rational decisions … when risk is involved, even when full information is available. A simple normative analysis of decisions about insurance …

We study optimal insurance demand for a risk- and ambiguity-averse consumer under ambiguity about contract …

the premium or wager. These motivations do not conflict with evidence supporting prospect theory and accommodate the … insurance-purchasing gambler. The implications are that insurance is far more valuable than conventional theory suggests, and …

We analyze optimal insurance design for a risk- and ambiguity-averse policyholder who is uncertain about the …