We consider a risky economic project that may yield either profits or losses, dependingon random events. We study an insurance mechanism under which the plan of project implementationmaximizing the expected value of profits becomes optimal almost surely. The mechanismis linear in the decision variables, “actuarially fair” and robust to changes in the utility function.The premium and the compensation in the insurance scheme are expressed through dual variablesassociated with information constraints in the problem of maximization of expected profits. Thesedual variables are interpreted as the shadow prices of information. Along with the general model,several specialized models are considered in which the insurance mechanism and the shadow pricesare examined in detail.
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