An optimal insurance design problem under Knightian uncertainty
An optimal insurance design problem under Knightian uncertainty
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DOI：
10.1007/s10203-012-0127-5
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发表时间：
2012-02
影响因子：
1.1
通讯作者：
C. Bernard;Shaolin Ji;Weidong Tian
中科院分区：
文献类型：
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作者：
C. Bernard;Shaolin Ji;Weidong Tian
本文解决了一个最优保险设计问题，其中保险人和被保险人都受到损失分布的不确定性。在一个多优先期望框架中建模了多优先期望的不确定性。我们得到了一个内生的最优赔偿的特点，扩展了经典定理的箭头（论文在理论的风险承担。Markham，芝加哥1971）和Raviv（Am Econ Rev 69（1）：84-96，1979）在经典情况下。研究表明，在存在模糊不确定性的情况下，最优保险合同不仅依赖于已实现的损失，而且依赖于模糊性带来的另一个不确定性。
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-priorg-expectation framework. We obtain an endogenous characterization of the optimal indemnity that extends classical theorems of Arrow (Essays in the Theory of Risk Bearing. Markham, Chicago 1971) and Raviv (Am Econ Rev 69(1):84–96, 1979) in the classical situation. In the presence of Knightian uncertainty, it is shown that the optimal insurance contract is not only contingent on the realized loss but also on another source of uncertainty coming from the ambiguity.