一种基于模糊性理论的最优保险决策模型

A model for optimal insurance strategy based on ambiguity theory

沿用Gilboa和Schmeidler等学者分析模糊性问题的方法,定义一扩展状态空间上的概率测度,以描述保险市场中存在的模糊性。针对一种特殊均衡性保险市场——保险人为风险中性,投保人为风险厌恶,研究两者面临相同模糊性程度下的最优保险问题。结果表明,该市场条件下,投保人购买足额保险为最优决策。

Following Gilboa and Schmeidler (1989) ,this paper extends theses analyses to an equilibri-um insurance market with a risk-neutral insurer and a risk-averse insured who have identical ambigui-ty degree .Ambiguity is described through a probability measure on an extended state space that in-cludes extra ambiguous states .We show that ,full coverage is optimal in the presence of ambiguity .