An optimal insurance design problem under Knightian uncertainty

被引：9

作者：

Bernard C. ^{[1
]}

Ji S. ^{[2
]}

Tian W. ^{[3
]}

机构：

[1] Department of Statistics and Actuarial Science, University of Waterloo, Waterloo

[2] Institute for Financial Studies and Institute of Mathematics, Shandong University, Jinan

[3] Belk College of Business, University of North Carolina at Charlotte, Charlotte, NC

来源：

Decisions in Economics and Finance | 2013年 / 36卷 / 2期

基金：

加拿大自然科学与工程研究理事会; 中国国家自然科学基金;

关键词：

Contingency; Insurance; Knightian uncertainty;

D O I：

10.1007/s10203-012-0127-5

中图分类号：

学科分类号：

摘要：

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-prior g-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. © 2012 Springer-Verlag.

引用

页码：99 / 124

页数：25

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