论文标题
Maxmin预期公用事业下的最佳保险
Optimal Insurance under Maxmin Expected Utility
论文作者
论文摘要
当被保险人对歧义敏感并根据Gilboa和Schmeidler的Maxmin指望的效用模型（1989）时，我们检查了保险赔偿的需求问题，而保险公司是（规避风险或风险中性的）预期的预期最大值。我们表征了有或没有习惯性的无固定要求的最佳赔偿功能，这是对可行赔偿的，对于两种代理的凹面和线性效用功能。这使我们能够提供一个统一的框架，在该框架中，我们研究了无惯常条件的影响，财富的边际效用，信仰异质性以及歧义（先验的多重性）对最佳赔偿功能结构的影响。特别是，我们展示了信念的奇异性如何导致最佳赔偿功能，该功能涉及保险人分配零概率的事件，而决策者则分配了积极的概率。我们研究了几个说明性的例子，并为沃斯坦（Wasserstein）和雷尼（Renyi）歧义集的情况提供了数值研究。
We examine a problem of demand for insurance indemnification, when the insured is sensitive to ambiguity and behaves according to the Maxmin-Expected Utility model of Gilboa and Schmeidler (1989), whereas the insurer is a (risk-averse or risk-neutral) Expected-Utility maximizer. We characterize optimal indemnity functions both with and without the customary ex ante no-sabotage requirement on feasible indemnities, and for both concave and linear utility functions for the two agents. This allows us to provide a unifying framework in which we examine the effects of the no-sabotage condition, marginal utility of wealth, belief heterogeneity, as well as ambiguity (multiplicity of priors) on the structure of optimal indemnity functions. In particular, we show how the singularity in beliefs leads to an optimal indemnity function that involves full insurance on an event to which the insurer assigns zero probability, while the decision maker assigns a positive probability. We examine several illustrative examples, and we provide numerical studies for the case of a Wasserstein and a Renyi ambiguity set.
