Abstract
The main purpose of this paper is to show that left-monotone risk aversion, a meaningful refinement of strong risk aversion, characterizes decision makers for whom deductible insurance is optimal. A second goal is to prove that the deductible’s computation is particularly tractable in the case of Yaari’s decision makers.
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17 March 2022
A Correction to this paper has been published: https://doi.org/10.1007/s11238-022-09888-7
Notes
Note that \(h(1_{-})=f^{'}_-(1)\) left derivative of f is necessarily finite or infinite since h(p) is strictly increasing.
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Acknowledgements
The valuable suggestions of the editors, of two anonymous referees, and of Brigitte Gosse are gratefully acknowledged. Mina Mostoufi appreciates the opportunity that Allianz Benelux Data Office provided to dedicate time to R&D activities during the work hours. The authors take the opportunity of this special issue to express their warm gratitude to Peter Wakker.
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The original online version of this article was revised: In Subsection 3.1, the sentence “Next, we discuss the left-monotone risk aversion in the Yaari’s framework” became obsolete after revision, so it has been removed.
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Chateauneuf, A., Cohen, M. & Mostoufi, M. Optimality of deductible: a characterization, with application to Yaari’s dual theory. Theory Decis 92, 569–580 (2022). https://doi.org/10.1007/s11238-022-09880-1
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DOI: https://doi.org/10.1007/s11238-022-09880-1