英文标题：
《Optimal Insurance with Rank-Dependent Utility and Increasing Indemnities》
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作者：
Xu Zuo Quan, Zhou Xun Yu, Zhuang Sheng Chao
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最新提交年份：
2015
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英文摘要：
  Bernard et al. (2015) study an optimal insurance design problem where an individual\'s preference is of the rank-dependent utility (RDU) type, and show that in general an optimal contract covers both large and small losses. However, their contracts suffer from a problem of moral hazard for paying more compensation for a smaller loss. This paper addresses this setback by exogenously imposing the constraint that both the indemnity function and the insured\'s retention function be increasing with respect to the loss. We characterize the optimal solutions via calculus of variations, and then apply the result to obtain explicitly expressed contracts for problems with Yaari\'s dual criterion and general RDU. Finally, we use a numerical example to compare the results between ours and that of Bernard et al. (2015).
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中文摘要：
Bernard等人（2015年）研究了一个最优保险设计问题，其中个人的偏好是秩相关效用（RDU）类型，并表明一般而言，最优合同涵盖了大小损失。然而，他们的合同存在道德风险问题，因为他们要为较小的损失支付更多的赔偿。本文通过对赔偿功能和被保险人的保留功能都会随着损失的增加而增加这一约束来解决这一挫折。我们通过变分法刻画了最优解的特征，然后将结果应用于Yaari对偶准则和一般RDU问题的显式表示契约。最后，我们使用一个数值例子来比较我们和Bernard等人（2015）的结果。
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分类信息：

一级分类：Quantitative Finance        数量金融学
二级分类：Mathematical Finance        数学金融学
分类描述：Mathematical and analytical methods of finance, including stochastic, probabilistic and functional analysis, algebraic, geometric and other methods
金融的数学和分析方法，包括随机、概率和泛函分析、代数、几何和其他方法
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