Applications are invited for Research Awards for the summer months of 2017 in the Department of Applied Mathematics, and the Department of Statistics & Actuarial Sciences. Supervision is available in a variety of areas related to existing research conducted by faculty members in: numerical and symbolic computation, mathematical biology, dynamical systems, financial modeling, applied statistics, applied probability, actuarial modeling. Applicants are not required to specify an area of interest.
In 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.