Optimal Insurance: Dual Utility, Random Losses, and Adverse Selection
研究了经典垄断保险问题在逆向选择下的推广，允许损失随机分布且与私人风险参数相关，用对偶效用函数解释实际合同设计，对保险业者与监管者有用。
We study a generalization of the classical monopoly insurance problem under adverse selection (see Stiglitz 1977) where we allow for a random distribution of losses, possibly correlated with the agent’s risk parameter that is private information. Our model explains patterns of observed customer behavior and predicts insurance contracts most often observed in practice: these consist of menus of several deductible-premium pairs or menus of insurance with coverage limits–premium pairs. A main departure from the classical insurance literature is obtained here by endowing the agents with risk-averse preferences that can be represented by a dual utility functional (Yaari 1987).