Pricing insurance contracts under Cumulative Prospect Theory

Marek Kaluszka and Michał Krzeszowiec

Insurance: Mathematics and Economics, 2012, vol. 50, issue 1, 159-166

Abstract: 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.

Keywords: Cumulative Prospect Theory; Premium principle; Non-expected utility (search for similar items in EconPapers)
JEL-codes: D81 G22 (search for similar items in EconPapers)
Date: 2012
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Citations: View citations in EconPapers (19)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:insuma:v:50:y:2012:i:1:p:159-166

DOI: 10.1016/j.insmatheco.2011.11.001

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