Xuedong He

Columbia University

3022 Broadway

New York, NY 10027

United States

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Optimal Insurance Design Under Rank‐Dependent Expected Utility

Mathematical Finance, Vol. 25, Issue 1, pp. 154-186, 2015
Number of pages: 33 Posted: 17 Jan 2015
Grenoble Ecole de Management, Columbia University, Chinese Academy of Sciences (CAS) - Academy of Mathematics and Systems Sciences and The Chinese University of Hong Kong (CUHK) - Department of Systems Engineering & Engineering Management
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Abstract:

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optimal insurance design, rank‐dependent expected utility, inverse‐S shaped probability distortion, indemnity, quantile formulation, deductible