Optimal insurance under rank-dependent utility and incentive compatibility

Xu, ZQ; Zhou, XY; Zhuang, SC

Zhou, XY (reprint author), Columbia Univ, Dept IEOR, New York, NY 10027 USA.

MATHEMATICAL FINANCE, 2019; 29 (2): 659

Abstract

Bernard, He, Yan, and Zhou (Mathematical Finance, 25(1), 154-186) studied an optimal insurance design problem where an individual's preference is of t......

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