Lincoln, NE 68588
University of Nebraska Lincoln
optimal reinsurance design, distortion risk measure, distortion premium principle, multiple reinsurers, representative reinsurer
Dynamical Reinsurance, Mean-CVaR Premium Principle, Denneberg’s Absolute Deviation Principle, Ruin Probability
optimal insurance design, rank-dependent utility theory, Yaari’s dual criterion, probability weighting function, moral hazard, indemnity function, retention function, quantile formulation
reinsurance, multiple reinsurers, competition, premiums, Mean Conditional Value-at-Risk
Habit Formation; Life-Cycle Model; Life Insurance; Annuity
Cooperative bargaining, reinsurance, contract design, comonotonic additive preferences
optimal reinsurance, marginal indemnification function, Lagrangian dual method, distortion risk measure, inverse-S shaped distortion premium principle
insurance design; expected value principle; variance; incentive compatibility; comparative statics
CDF formulation, Lagrangian dual method, optimal reinsurance, survival probability maximization, background risk, generalized Wang’s premium principle
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incentive compatibility, indemnity function, moral hazard, optimal insurance design, probability weighting function, quantile formulation, rank‐dependent utility theory, retention function
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