Abstract
We consider a risky economic project that may yield either profits or losses, depending
on random events. We study an insurance mechanism under which the plan of project implementation
maximizing the expected value of profits becomes optimal almost surely. The mechanism
is 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 variables
associated with information constraints in the problem of maximization of expected profits. These
dual 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 prices
are examined in detail.