The Hong Kong Polytechnic University
optimal stopping, probability distortion, Choquet expectation, probability distribution/qunatile function, Skorokhod embedding problem, $S$-shaped and reverse $S$-shaped function
Dual Utility; Conditional Joint Mixability; Risk Aggregation; Dependence Uncertainty; Pessimism Effect
optimal insurance design, rank-dependent utility theory, Yaari’s dual criterion, probability weighting function, moral hazard, indemnity function, retention function, quantile formulation
Rank-dependent utility theory, probability distortion/weighting function, quantile formulation, VaR, tail VaR, relaxation method
Quantile Optimization, Probability Weighting/Distortion, Relaxation Method, Insurance Contract Design, Free Boundary Problem, Calculus of Variations
Behavioral finance; rank-dependent expected utility; quantile formulation; relax- ation method; VaR constraint; portfolio insurance.
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stock loans, finite maturity, optimal strategy, optimal stopping
File name: MAFI.pdf
incentive compatibility, indemnity function, moral hazard, optimal insurance design, probability weighting function, quantile formulation, rank‐dependent utility theory, retention function
portfolio choice/selection, behavioral finance, law‐invariant, quantile formulation, probability weighting/distortion function, change‐of‐variable, relaxation method, calculus of variations, CPT, RDUT, time consistency, atomic, atomless/nonatomic, functional optimization problem
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