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NTU Management Review
Vol. 36 No. 1 Apr. 2026, 1-42
https://doi.org/10.6226/NTUMR.202604_36(1).0001

Ambiguity Increases and Insurance Deductibles

模糊增加與保險自負額

Yi-Chieh Huang, Department of Business Administration, National Central University
黃依潔 / 國立中央大學企業管理學系
Jeffrey Tzu-Hao Tsai, Department of Quantitative Finance, National Tsing Hua University
蔡子晧 / 國立清華大學計量財務金融學系
Received 2024/6, Final revision received 2025/9
Abstract
This paper investigates the impact of an ambiguity increase on the optimal insurance
deductible for a risk- and ambiguity-averse individual under the uncertainty of a loss
distribution. A deductible is an important insurance contract design in both theory
and practice. Previous studies have reported preference-based results in the context of
coinsurance, albeit with limited applications. In this paper, we prove a straight deductible
is optimal under an α-maxmin model. In the context of the straight deductible, we assume
that the cumulative loss probability at an initial optimal deductible is preserved after an
ambiguity increase. We show that, for a loss below the initial optimal deductible, the
optimal deductible remains unchanged when possible distributions are unaffected by the
ambiguity increase. Allowing for a distinct center in the belief set while keeping the others
unchanged, we prove that, when the worst distribution is unaffected, but the best distribution
deteriorates in terms of first-order stochastic dominance, the optimal deductible becomes
lower after the ambiguity increase. If the cumulative loss probability is not preserved, the
optimal deductible decreases when, at the initial optimal deductible, the odds of obtaining
partial indemnity relative to no indemnity become larger under the loss distribution
distorted by ambiguity aversion.
【Keywords】ambiguity increase, ambiguity aversion, optimal insurance coverage,
deductible, α-maxmin model

領域主編：王衍智教授

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