Seminar Event Detail


Financial/Actuarial Mathematics

Date:  Wednesday, April 27, 2016
Location:  1360 East Hall (4:00 PM to 5:00 PM)

Title:  Optimal Insurance: Belief Heterogeneity, Ambiguity, and Arrow's Theorem

Abstract:   In Arrow's classical problem of demand for insurance indemnity schedules, it is well-known that the optimal insurance indemnification for an insurance buyer (the insured) is a straight deductible contract, when the insurer is a risk-neutral Expected Utility (EU) maximizer and when the insured is a risk-averse EU maximizer. In Arrow's framework, however, the two parties share the same probabilistic beliefs about the realizations of the underlying insurable loss, and neither party experiences ambiguity (Knightian uncertainty) about the distribution of this random loss. In this talk I will discuss extensions of Arrow's classical result to situations of belief heterogeneity and ambiguity.<br />
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This talk is based on the work of Ghossoub (2013), Ghossoub (2015), Amarante and Ghossoub (2016), and Amarante, Ghossoub, and Phelps (2015).<br />

Files: 3899_Ghossub.pdf


Speaker:  Mario Ghossub
Institution:  Imperial College, London

Event Organizer:   Erhan Bayraktar    erhan@umich.edu

 

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