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 |
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ページ(範囲) | 787-801 |
ページ数 | 15 |
ジャーナル | ASTIN Bulletin |
巻 | 47 |
号 | 3 |
DOI | |
出版ステータス | Published - 2017 9月 1 |
外部発表 | はい |
ASJC Scopus subject areas
- 会計
- 財務
- 経済学、計量経済学