Efficient Insurance Contracts under Epsilon-Contaminated Utilities
Shahidi, Niousha; Carlier, Guillaume; Dana, Rose-Anne (2003), Efficient Insurance Contracts under Epsilon-Contaminated Utilities, Geneva Papers on Risk and Insurance. Theory, 28, 1, p. 59-71. http://dx.doi.org/10.1023/A:1022195815221
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Article accepté pour publication ou publiéDate
2003Journal name
Geneva Papers on Risk and Insurance. TheoryVolume
28Number
1Publisher
Springer
Pages
59-71
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Show full item recordAbstract (EN)
This paper analyses the qualitative properties of optimal contracts when agents have multiple priors and are uncertainty averse in an infinite state space framework. The case of the epsilon-contamination of a given prior, a basic tool in robustness theory is fully developped. It is shown that if both agents have strictly concave utility index, then if the insurer is less uncertainty averse than the insured, he provides a full insurance contract above a deductible for high values of the loss.Subjects / Keywords
epsilon-contaminated utilities; Choquet integral; uncertainty aversion; capacityRelated items
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