Abstract
In this paper, we investigate the insurance choice of a risk-averse insured with a positive skewness preference, where the insurance premium is calculated by a general mean-variance principle. The proposed class of premium principles is quite general in the sense that it includes the expected value principle, variance related principles and mean value principle as special cases. When the indemnity is assumed to be increasing and concave in the loss, we show that the expected utility of the insured's final wealth can be improved by purchasing a dual change-loss insurance policy. It is further sub-optimal to a quota-share insurance contract for the expected value premium principle and variance related premium principles. However, the quota-share insurance often is not an optimal choice for mean value premium principle.
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