文章基本信息

标题：Risk Exchange under EUUP
本地全文：下载
作者：Hideki Iwaki
期刊名称：Journal of Mathematical Finance
印刷版ISSN：2162-2434
电子版ISSN：2162-2442
出版年度：2021
卷号：11
期号：3
页码：512-527
DOI：10.4236/jmf.2021.113029
语种：English
出版社：Scientific Research Publishing
摘要：In this paper, we consider an equilibrium insurance premium and risk exchange in a pure exchange economy with ambiguity or Knightian uncertainty. Each agent’s preference is represented by the expected utility with uncertainty probability (EUUP) theory. The Bühlmann’s economic premium principle is generalized under EUUP. Contrary to the existing models, our principle under uncertainty is given unanimously and can be calculated more easily and explicitly. Through comparative statics, we show that insurance transactions occur and demand for insurance is not always comonotonic due to the difference in the degree of ambiguity aversion even if all of the agents in the economy are ambiguity averse or ambiguity loving.
关键词：Ambiguity;Economic Premium Principle;Equilibrium;Expected Utility with Uncertainty Probability (EUUP);Risk Exchange