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1

The optimization of insurance contracts on the viatical market

Dębicka Joanna, Heilpern Stanisław

Operations Research and Decisions

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2020

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Vol. 30, No. 2

5--27

EN

We focus on ensuring the financial requirements of a person that has life insurance and needs money because of suffering from a terminal illness that requires costly diagnosis and treatment. On the secondary market of life insurance (the viatical market), companies offer purchase of rights to benefits after the death of the insured. The paper aims to analyse the problem of optimising the life settlement for the insured. We determine the amount of the nominal value of the benefit which the insured intends to sell in such a way so that the number of benefits and premiums maximise the average amount of funds available to the insured. We use various approaches of the insured to risk to find an optimal solution, which also allows taking into consideration the different kinds of human behaviour in risky conditions. The obtained theoretical results are illustrated with examples demonstrating the possibility of their application in practice.

2

Analysis of complex decision problems based on cumulative prospect theory

Dudzińska-Baryła R.

Operations Research and Decisions

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2018

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Vol. 28, No. 3

5--16

EN

Complex risky decision problems involve sequences of decisions and random events. The choice at a given stage depends on the decisions taken in the previous stages, as well as on the realizations of the random events that occurred earlier. In the analysis of such situations, decision trees are used, and the criterion for choosing the optimal decision is to maximize the expected monetary value. Unfortunately, this approach often does not reflect the actual choices of individual decision makers. In descriptive decision theory, the criterion of maximizing the expected monetary value is replaced by a subjective valuation that takes into account the relative outcomes and their probabilities. This paper presents a proposal to use the principles of cumulative prospect theory to analyse complex decision problems. The concept of a certainty equivalent is used to make it possible to compare risky and non-risky alternatives.

3

Analiza drzew decyzyjnych na gruncie teorii perspektywy

Dudzińska-Baryła R.

Zeszyty Naukowe. Organizacja i Zarządzanie / Politechnika Śląska

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2017

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z. 113

67--82

PL

Powszechnie stosowaną graficzną metodą wspomagania procesu decyzyjnego w warunkach ryzyka są drzewa decyzyjne. Jako kryterium wyboru optymalnej decyzji zwykle stosuje się maksymalizację wartości oczekiwanej. W behawioralnym podejściu do analizy decyzyjnej uwzględnia się subiektywne czynniki, które często powodują, iż decyzje decydentów nie są zgodne z podejściem normatywnym. W pracy zostanie zaproponowana procedura oceny problemów decyzyjnych, które można przedstawić za pomocą drzew decyzyjnych zawierających dwa lub więcej etapów, wykorzystująca zasady kumulacyjnej teorii perspektywy.

EN

The decision trees are a commonly used graphical method for analysis of decisions under conditions of risk. As the criterion for choosing the optimal decision the expected value criterion is usually used. In the behavioral decision analysis, subjective factors are taken into account, which often causes that the preferred decision differs from optimal decision based on the normative approach. In this paper we propose procedures for the analysis of decision problems, which can be presented by decision trees with two or more stages. These procedures are based on cumulative prospect theory.

4

Comparison of the valuations of alternatives based on cumulative prospect theory and almost stochastic dominance

Michalska E., Dudzińska-Baryła R.

Operations Research and Decisions

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2012

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Vol. 22, No. 3

23--36

EN

There are commonly accepted and objective decision rules, which are consistent with rationality, for example stochastic dominance rules. But, as can be seen in many research studies in behavioral economics, decision makers do not always act rationally. Rules based on cumulative prospect theory or almost stochastic dominance are relatively new tools which model real choices. Both approaches take into account some behavioral factors. The aim of this paper is to check the consistency of orders of the valuations of random alternatives based on these behavioral rules. The order of the alternatives is generated by a preference relation over the decision set. In this paper, we show that the methodology for creating rankings based on total orders can be used for the preference relations considered, because they enable comparison of all the elements in a set of random alternatives. For almost second degree stochastic dominance, this is possible due to its particular properties, which stochastic dominance does not possess.

5

Behavioral multi-criteria decision analysis: further elaborations on the TODIM method

Gomes L.F.A.M, González X. I.

Foundations of Computing and Decision Sciences

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2012

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Vol. 37, No. 1

3-8

EN

This short communication reviews the role of the TODIM method within behavioral decision theory and presents its genesis. Two important aspects of the method such as generalizing that method towards cumulative prospect theory and the choice of a reference point are further clarified.