TITLE
"On Monopoly Insurance Pricing when Agents Differ in Risk Aversion", Volume 32, Annette Hofmann, Martin Nell, and Philipp Pohl, Fall 2009, Volume 32, pp 133-153.

ABSTRACT
The paper analyzes a monopolistic insurer’s pricing strategies when potential
customers differ in risk aversion and their type cannot be observed by the insurer.
Our model builds on Schlesinger (1983), who derived optimal nonlinear pricing
strategies for competitive and monopolistic insurance markets. While Schlesinger
assumed existence, we are concerned with conditions under which optimal strategies
may exist. We introduce a general model framework for continuous but not necessarily
differentiable utility functions and derive conditions for existence of optimal insurance
pricing strategies. An important application of our findings is”kinked” utility functions,
which are found to offer a better match of actual decision making. Both fixed
and proportionate premium loadings (relative to expected loss) are considered. [Key
words: insurance monopoly; “kinked” utility; nonlinear pricing]