06 June 2016

OPTIMAL INSURANCE | MATH SEMINAR

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OPTIMAL INSURANCE | MATH SEMINAR

Optimal Insurance, a Math seminar which was organized by the Department of Mathematics and Statistics - Faculty of Natural and Applied Sciences at NDU, Main Campus, on June 6, discussed the Arrow's classical problem of demand for insurance indemnity schedules.

It is well-known that the optimal insurance indemnification for an insurance buyer (the insured) is a straight deductible contract, when the insurer is a risk-neutral Expected Utility (EU) maximizer and when the insured is a risk-averse EU maximizer. In Arrow's framework, however, the two parties share the same probabilistic beliefs about the realizations of the underlying insurable loss, and neither party experiences ambiguity (Knightian uncertainty) about the distribution of this random loss. In this talk I will discuss extensions of Arrow's classical result to situations of belief heterogeneity and ambiguity.

The seminar was presented by Dr. Mario Ghossoub, Imperial College, London.

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