Pricing insurance contracts under Cumulative Prospect Theory

The aim of this paper is to introduce a premium principle which relies on Cumulative Prospect Theory by Kahneman and Tversky. Some special cases of this premium principle have already been studied in the actuarial literature. In the paper, properties of this premium principle are examined.

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Year of publication:	2012
Authors:	Kaluszka, Marek ; Krzeszowiec, Michał
Published in:	Insurance: Mathematics and Economics. - Elsevier, ISSN 0167-6687. - Vol. 50.2012, 1, p. 159-166
Publisher:	Elsevier
Subject:	Cumulative Prospect Theory \| Premium principle \| Non-expected utility

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Type of publication:	Article
Classification:	D81 - Criteria for Decision-Making under Risk and Uncertainty ; G22 - Insurance; Insurance Companies
Source:	RePEc - Research Papers in Economics

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