AN ECONOMIC PREMIUM PRINCIPLE under the DUAL THEORY of the SMOOTH AMBIGUITY MODEL

Yoichiro Fujii, Hideki Iwaki*, Yusuke Osaki

*この研究の対応する著者

研究成果: Article査読

抄録

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.

本文言語English
ページ(範囲)787-801
ページ数15
ジャーナルASTIN Bulletin
47
3
DOI
出版ステータスPublished - 2017 9 1
外部発表はい

ASJC Scopus subject areas

  • 会計
  • 財務
  • 経済学、計量経済学

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