{"about":{"site":"https://codewithpapers.app","non_affiliation":"Code with Papers and Syntology are not affiliated with, endorsed by, or sponsored by Papers with Code, Meta, or the pwc-archive mirror.","licence":"CC BY-SA 4.0","licence_url":"https://creativecommons.org/licenses/by-sa/4.0/legalcode","attribution":"https://codewithpapers.app/attribution","modified":"archive material modified by Syntology; see the attribution page"},"url":"/paper/optimal-insurance-to-maximize-exponential","title":"Optimal Insurance to Maximize Exponential Utility when Premium is Computed by a Convex Functional","arxiv_id":"2401.08094","date":"2024-01-16","proceeding":null,"authors":["Jingyi Cao","Dongchen Li","Virginia R. Young","Bin Zou"],"abstract":"We find the optimal indemnity to maximize the expected utility of terminal wealth of a buyer of insurance whose preferences are modeled by an exponential utility. The insurance premium is computed by a convex functional. We obtain a necessary condition for the optimal indemnity; then, because the candidate optimal indemnity is given implicitly, we use that necessary condition to develop a numerical algorithm to compute it. We prove that the numerical algorithm converges to a unique indemnity that, indeed, equals the optimal policy. We also illustrate our results with numerical examples.","url_abs":"https://arxiv.org/abs/2401.08094v1","url_pdf":"https://arxiv.org/pdf/2401.08094v1.pdf","source":{"archive":"pwc-archive (Hugging Face), CC BY-SA 4.0","snapshot":"2025-07-28","licence_url":"https://creativecommons.org/licenses/by-sa/4.0/legalcode","row_kind":"abstracts"},"code_links":[{"paper_slug":"optimal-insurance-to-maximize-exponential","repo_url":"https://github.com/caoliyoungzou/computing-optimal-insurance","is_official":1,"mentioned_in_paper":1,"mentioned_in_github":0,"framework":"none","reach":null}],"tasks":[],"methods":[],"datasets_introduced":[],"methods_introduced":[],"results":[],"syntology":{"syntology_url":null,"atlas_url":null,"mcp":null,"developers":"https://syntology.ai/developers"},"arxiv_metadata":null,"syntology_extracted_results":null}