Optimal insurance under rank-dependent utility and incentive compatibility
Bernard, He, Yan, and Zhou (Mathematical Finance, 25(1), 154–186) studied an optimal insurance design problem where an individual's preference is of the rank-dependent utility (RDU) type, and show that in general an optimal contract covers both large and small losses. However, their results suf...
| Main Authors: | , , |
|---|---|
| Format: | Article |
| Language: | English |
| Published: |
Blackwell Publishing Inc.
2019
|
| Subjects: | |
| Online Access: | View Fulltext in Publisher |