Premium rating under non-exponential utility. (English) Zbl 0638.62100
One of the most important premium calculation principles considered in risk theory is the so-called zero utility principle. This has particularly attractive properties if the exponential utility function is used, but then the risk aversion is constant, and the choice of excess of loss reinsurance retentions is independent of the size of an insurer’s net assets, what runs counter to practice.
So in the present paper zero utility premiums under alternative utility assumptions are investigated, and the consequences of different types of risk aversion (increasing, decreasing) are studied.
So in the present paper zero utility premiums under alternative utility assumptions are investigated, and the consequences of different types of risk aversion (increasing, decreasing) are studied.
Reviewer: W.R.Heilmann
MSC:
| 62P05 | Applications of statistics to actuarial sciences and financial mathematics |
Keywords:
non-exponential utility; premium calculation principles; risk theory; zero utility principle; risk aversion; excess of loss reinsurance retentionsReferences:
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