Projects per year
Abstract
This work examines optimal demand for insurance coverage when the insured has nonadditive subjective probability beliefs about loss uncertainty. By showing the equivalent conditions of Jensen's inequality under the Choquet expected utility framework, we not only provide the threshold on the insurance premium for Mossin's theorem to hold but also explore the joint effect of both risk aversion and uncertainty aversion on optimal insurance demand.
| Original language | English |
|---|---|
| Pages (from-to) | 854-862 |
| Number of pages | 9 |
| Journal | Bulletin of Economic Research |
| Volume | 74 |
| Issue number | 3 |
| Early online date | 27 Nov 2021 |
| DOIs | |
| Publication status | Published - Jul 2022 |
Bibliographical note
Publisher Copyright:© 2021 Board of Trustees of the Bulletin of Economic Research and John Wiley & Sons Ltd
Funding
This work is supported by the National Natural Science Foundation of China with Grant Numbers 72071109, 71901123, 71532009, 71790594 and the Direct Grant of Lingnan University under Research Project No DR21A8, Faculty Research Grant of Lingnan University under Research Project Nos DB18A9 and DB19A7
Keywords
- Choquet integrals
- Jensen's inequality
- demand for insurance
- uncertainty aversion
Fingerprint
Dive into the research topics of 'Demand for insurance with nonadditive probabilistic beliefs'. Together they form a unique fingerprint.Projects
- 3 Finished
-
Smooth Models of Decision Making under Ambiguity and Consistency Imprecision
LI, J. (PI)
1/01/21 → 31/12/22
Project: Grant Research
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The Validity of the First-order Approach in Principal-Agent Problems with Nonseparable Preferences
LI, J. (PI)
1/07/19 → 30/06/21
Project: Other External Research
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Asymmetric Attitude towards Non-Probabilistic Subjective Uncertainty
LI, J. (PI)
1/03/18 → 29/02/20
Project: Grant Research