Efficient Insurance Contracts under Epsilon-Contaminated Utilities
Shahidi, Niousha; Carlier, Guillaume; Dana, Rose-Anne (2003), Efficient Insurance Contracts under Epsilon-Contaminated Utilities, Geneva Papers on Risk and Insurance. Theory, 28, 1, p. 59-71. http://dx.doi.org/10.1023/A:1022195815221
TypeArticle accepté pour publication ou publié
Journal nameGeneva Papers on Risk and Insurance. Theory
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Abstract (EN)This paper analyses the qualitative properties of optimal contracts when agents have multiple priors and are uncertainty averse in an infinite state space framework. The case of the epsilon-contamination of a given prior, a basic tool in robustness theory is fully developped. It is shown that if both agents have strictly concave utility index, then if the insurer is less uncertainty averse than the insured, he provides a full insurance contract above a deductible for high values of the loss.
Subjects / Keywordsepsilon-contaminated utilities; Choquet integral; uncertainty aversion; capacity
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