Browsing Statistics and Actuarial Science by Subject "Choquet integral"
Now showing items 1-3 of 3
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Budget-constrained optimal insurance without the nonnegativity constraint on indemnities
(Elsevier, 2019-01)In a problem of Pareto-efficient insurance contracting (bilateral risk sharing) with expected-utility preferences, Gollier (1987) relaxes the nonnegativity constraint on indemnities and argues that the existence of a ... -
Contracting under Heterogeneous Beliefs
(University of Waterloo, 2011-06-03)The main motivation behind this thesis is the lack of belief subjectivity in problems of contracting, and especially in problems of demand for insurance. The idea that an underlying uncertainty in contracting problems (e.g. ... -
Gini-type measures of risk and variability: Gini shortfall, capital allocations, and heavy-tailed risks
(Elsevier, 2017-10-01)We introduce and explore Gini-type measures of risk and variability, and develop the corresponding economic capital allocation rules. The new measures are coherent, additive for co-monotonic risks, convenient computationally, ...