Abstract not found

In this paper, we investigate the relationship between comonotonicity and stop-loss order. vVe prove our main results by using a characterization of stop-loss order within the framework of Yaari's (1987) dual theory of choice under risk. Wang and Dhaene (1997) explore related problems

In the present paper we study the question of how to allocate the reinsurance premium between the sub-portfolios when an excess of loss treaty is to be shared between several sub-portfolios. Several allocation schemes based on the expected value principle and the standard deviation principle

five years ago and DXA machines are now widely accessible. Moreover, successful prevention of further bone loss in patients with primary osteoporosis can be oVered now with

. But increased competition reduced Harvard’s premiums by 5 to 8 percent. The premium reductions came from insurer profits, so while Harvard was better off, the net effect for society was only the adverse selection loss. Adverse selection can be minimized by adjusting voucher amounts for individual risk. We

We study equilibrium firm-level stock returns in two economies: one in which investors are loss averse over the fluctuations of their stock portfolio, and another in which they are loss averse over the fluctuations of individual stocks that they own. Both approaches can shed light on empirical

Two behavioral concepts, loss aversion and mental accounting, have been combined to provide a theoretical explanation of the equity premium puzzle. Recent experimental evidence supports the theory, as students ’ behavior has been found to be consistent with myopic loss aversion (MLA). Yet much like

asymmetries under which apparently anomalous behaviors, namely the compromise effect and choice overload, arise as market equilibria. In addition, I establish that the presence of uninformed consumers may induce firms to reduce the number of varieties they o¤er or to introduce premium loss leaders, i

In this paper, we investigate the notion of dependency between risks and its effect on the related stop-loss premiums. The concept of comonotonicity. being an extreme case of dependency, is discussed in detail. For the bivariate case, it is shown that, given the distributions of the individual

Consider the problem of pricing n items under an unlimited supply with m buyers. Each buyer is interested in a bundle of at most k of the items. These buyers are single minded, which means each of them has a budget and they will either buy all the items if the total price is within their budget or they will buy none of the items. The goal is to price each item with profit margin p1, p2,..., pn so as to maximize the overall profit. When k = 2, such a problem is called the graph-vertex-pricing problem. Another special case of the problem is the highwaypricing problem when the items (toll-booths) are arranged linearly on a line and each buyer (as a driver) is interested in paying for a path that consists of consecutive items. The goal again is to price the items (tolls) so as to maximize the total profits. There is an O(k)-approximation algorithm by [BB06] when the price on each item must be above its margin cost; i.e., pi> 0 for every i ∈ [n]. As for the highway problem, a PTAS is shown in [GR11]. We investigate the above problem when the seller is allowed to price some of the items below their margin cost. It is shown in [BB06, BBCH07] that by pricing some of the items below cost, the maximum profit can increase by a factor of Ω(log n). These items sold