Author

Yang Liu

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Preprint Aug 2026

Behavioral Participating Insurance: Optimal Investment under Probability Distortion and Aspiration Constraints

We study optimal investment for insurers managing participating (profit-sharing) contracts under probability distortion and probability benchmark (aspiration) constraints. The problem combines three theoretical complexities: (i) nonconcave effective utilities induced by embedded guarantees and surplus-sharing rules, (i...

Hao Liu, Yang Liu, Zhen Shen · 0 citations