Graduate Student Seminar by Professor Mario GhossoubExport this event to calendar

Thursday, October 12, 2017 — 4:00 PM EDT

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

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.

Location 
M3 - Mathematics 3
Room: 3127
200 University Avenue West
Waterloo, ON N2L 3G1
Canada

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