1 code implementation • 16 Jan 2024 • Jingyi Cao, Dongchen Li, Virginia R. Young, Bin Zou
We find the optimal indemnity to maximize the expected utility of terminal wealth of a buyer of insurance whose preferences are modeled by an exponential utility.
no code implementations • 5 Feb 2021 • Bahman Angoshtari, Erhan Bayraktar, Virginia R. Young
Furthermore, an individual with a more addictive habit invests less in the risky asset compared to an individual with a less addictive habit but with the same wealth-to-habit ratio and risk aversion, which provides an explanation for the equity-premium puzzle.
no code implementations • 7 Dec 2020 • Bahman Angoshtari, Virginia R. Young
We find the optimal indemnity to minimize the probability of ruin when premium is calculated according to the distortion premium principle with a proportional risk load, and admissible indemnities are such that both the indemnity and retention are non-decreasing functions of the underlying loss.
