On the optimality of a straight deductible under belief...

Enlace persistente
MARCXML Dublin Core RDF MODS Cita bibliográfica BibTeX SWAP METS
 

Imagen del registro

Artículos Artículos On the optimality of a straight deductible under belief heterogeneity - Chi, Yichun

Colección: Artículos

Título: On the optimality of a straight deductible under belief heterogeneity / Yichun Chi

Autor: Chi, Yichun Icono con lupa

Descripción física: 20 p.

Notas: Sumario: This article attempts to extend Arrow's theorem of the deductible to the case of belief heterogeneity, which allows the insured and the insurer to have different beliefs about the distribution of the underlying loss. Like Huberman et al. [(1983) Bell Journal of Economics 14(2), 415426], we preclude ex post moral hazard by asking both parties in the insurance contract to pay more for a larger realization of the loss. It is shown that, ceteris paribus, full insurance above a constant deductible is always optimal for any chosen utility function of a risk-averse insured if and only if the insurer appears more optimistic about the conditional loss given non-zero loss than the insured in the sense of monotone hazard rate order. We derive the optimal deductible level explicitly and then examine how it is affected by the changes of the insured's risk aversion, the insurance price and the degree of belief heterogeneity.

Materia / geográfico / evento: Matemática del seguro Icono con lupa
Teorema de Arrow Icono con lupa

Otras clasificaciones: 6

Ver detalle del número Ver detalle del número