The Kelly criterion returns a fraction of your bankroll; it follows that for any (positive-expected-value) bet whatsoever, it will advise you to increase your bet linearly in your income. Could this be the problem, or have you already taken that into account?
That aside, I'm slightly confused about how you can use the Kelly criterion in this case. Insurance must necessarily have negative expected value for the buyer, or the insurer makes no profit. So Kelly should be advising you not to buy any. How are you setting up the problem?
The Kelly criterion returns a fraction of your bankroll; it follows that for any (positive-expected-value) bet whatsoever, it will advise you to increase your bet linearly in your income. Could this be the problem, or have you already taken that into account?
Well that is exactly the point. It confuses me that the richer I am the more insurance I should buy, though the richer I am the more I am able to compensate the risk in not buying any insurance.
...That aside, I'm slightly confused about how you can use the Kelly criterion in this case. Insurance must
If it's worth saying, but not worth its own post (even in Discussion), then it goes here.