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Pfeifer, Dietmar; Heidergott, Bernd

The zero utility principle for scale families of risk distributions. (English) Zbl 0860.62080

Bl., Dtsch. Ges. Versicherungsmath. 22, No. 4, 711-722 (1996).
We show that for certain classes of not necessarily twice differentiable utility functions – which will be characterized as being scale invariant – and for certain classes of risk distributions where the expectation plays the role of the “natural” parameter we find explicit representations for the zero utility premium. Further, comparisons with other premium calculation principles are given.

Cited in 3 Documents

MSC:

62P05 Applications of statistics to actuarial sciences and financial mathematics

Keywords:

scale invariant utility functions; numerical examples; explicit representations; zero utility premium
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References:

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