AN ECONOMIC PREMIUM PRINCIPLE UNDER THE DUAL THEORY OF THE SMOOTH AMBIGUITY MODEL
AN ECONOMIC PREMIUM PRINCIPLE UNDER THE DUAL THEORY OF THE SMOOTH AMBIGUITY MODEL
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平滑模糊模型对偶理论下的经济溢价原理
DOI：
10.1017/asb.2017.14
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发表时间：
2017
期刊：
影响因子：
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通讯作者：
尾崎祐介
中科院分区：
文献类型：
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作者：
藤井陽一朗;岩城秀樹;尾崎祐介
这项研究考虑的是一种纯交换经济，对模糊损失提供保险。模糊偏好由Iwaki和Osaki(2014)提出的平滑模糊模型的对偶理论来表示。将Bühlmann(1980,1984)的经济溢价原则推广到模糊性。我们还进行了一些比较静态分析，并给出了模糊厌恶增加会增加保险需求和保险费的充分条件。与Tsanakas和Christofides(2006)的结果相反，对保险的最优需求并不总是共调的，因为我们的模型允许一个既包含模糊厌恶者又包含喜欢模糊的代理人的经济。
This study considers a pure exchange economy with insurance against ambiguous loss. Ambiguity preferences are represented by the dual theory of the smooth ambiguity model from Iwaki and Osaki (2014). The economic premium principle of Bühlmann (1980, 1984) is extended to ambiguity. We also perform some comparative statics and present sufficient conditions under which an increase in ambiguity aversion increases insurance demand and insurance premiums. Contrary to the result in Tsanakas and Christofides (2006), the optimal demand for insurance is not always comonotonic, because our model permits an economy comprising both ambiguity averse and ambiguity loving agents.