Expected utility operators and coinsurance problem
Mathematical Finance
2019-08-20 v1
Abstract
The expected utility operators introduced in a previous paper, offer a framework for a general risk aversion theory, in which risk is modelled by a fuzzy number . In this paper we formulate a coinsurance problem in the possibilistic setting defined by an expected utility operator . Some properties of the optimal saving -coinsurance rate are proved and an approximate calculation formula of this is established with respect to the Arrow-Pratt index of the utility function of the policyholder, as well as the expected value and the variance of a fuzzy number . Various formulas of the optimal -coinsurance rate are deduced for a few expected utility operators in case of a triangular fuzzy number and of some HARA and CRRA-type utility functions.
Cite
@article{arxiv.1908.06927,
title = {Expected utility operators and coinsurance problem},
author = {Irina Georgescu},
journal= {arXiv preprint arXiv:1908.06927},
year = {2019}
}