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Demand for insurance with nonadditive probabilistic beliefs

Author

Listed:
  • Jianli Wang
  • Yingrong Su
  • Jingyuan Li
  • Ho Yin Yick

Abstract

This work examines optimal demand for insurance coverage when the insured has nonadditive subjective probability beliefs about loss uncertainty. By showing the equivalent conditions of Jensen's inequality under the Choquet expected utility framework, we not only provide the threshold on the insurance premium for Mossin's theorem to hold but also explore the joint effect of both risk aversion and uncertainty aversion on optimal insurance demand.

Suggested Citation

  • Jianli Wang & Yingrong Su & Jingyuan Li & Ho Yin Yick, 2022. "Demand for insurance with nonadditive probabilistic beliefs," Bulletin of Economic Research, Wiley Blackwell, vol. 74(3), pages 854-862, July.
    • Handle: RePEc:bla:buecrs:v:74:y:2022:i:3:p:854-862
    DOI: 10.1111/boer.12322
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    References listed on IDEAS

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