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Pricing insurance contracts under cumulative prospect theory. (English) Zbl 1239.91080
In the paper, a new premium principle is introduced. This premium principle is based on Cumulative Prospect Theory by D. Kahneman and A. Tversky, [Econometrica 47, 313–327 (1979; Zbl 0411.90012)]. The various properties of this new premium principle are examined in the text.

MSC:
91B30 Risk theory, insurance (MSC2010)
91B16 Utility theory
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