@article {AmaranteGhossoub2016,
	title = {Optimal Insurance for a Minimal Expected Retention: The Case of an Ambiguity-Seeking Insurer},
	journal = {Risks},
	volume = {4},
	number = {1},
	year = {2016},
	pages = {8},
	abstract = {<p>In the classical expected utility framework, a problem of optimal insurance design with a premium constraint is equivalent to a problem of optimal insurance design with a minimum expected retention constraint. When the insurer has ambiguous beliefs represented by a non-additive probability measure, as in Schmeidler, this equivalence no longer holds. Recently, Amarante, Ghossoub and Phelps examined the problem of optimal insurance design with a premium constraint when the insurer has ambiguous beliefs. In particular, they showed that when the insurer is ambiguity-seeking, with a concave distortion of the insured{\textquoteright}s probability measure, then the optimal indemnity schedule is a state-contingent deductible schedule, in which the deductible depends on the state of the world only through the insurer{\textquoteright}s distortion function. In this paper, we examine the problem of optimal insurance design with a minimum expected retention constraint, in the case where the insurer is ambiguity-seeking. We obtain the aforementioned result of Amarante, Ghossoub and Phelps and the classical result of Arrow as special cases.</p>},
	url = {http://www.mdpi.com/2227-9091/4/1/8},
	author = {M. Amarante and M Ghossoub}
}
