Paper Info
Title
Expected Utility Operators And Coinsurance Problem
Abstract
The expected utility operators introduced in a previous paper offer a framework for a general risk aversion theory, in which risk is modeled by a fuzzy numberA. In this paper, we formulate a coinsurance problem in the possibilistic setting defined by an expected utility operatorT. Some properties of the optimal savingT-coinsurance rate are proved, and an approximate calculation formula of this is established with respect to the Arrow-Pratt index of the utility function of the policyholder, as well as the expected value and the variance of a fuzzy numberA. Various formulas of the optimalT-coinsurance rate are deduced for a few expected utility operators in case of a triangular fuzzy number and of some HARA- and CRRA-type utility functions.
Year
DOI
Venue
2020
10.1007/s00500-020-05100-6
SOFT COMPUTING
Keywords
DocType
Volume
Expected utility operators, Coinsurance
Journal
24
Issue
ISSN
Citations 
24
1432-7643
0
PageRank 
References 
Authors
0.34
0
1
Name
Order
Citations
PageRank
Irina Georgescu17915.48