An economic premium principle in a multiperiod economy.

DOI10.1016/S0167-6687(00)00081-0zbMath1071.91025OpenAlexW1965866519WikidataQ127778707 ScholiaQ127778707MaRDI QIDQ1413269

Hideki Iwaki, Masaaki Kijima, Yuji Morimoto

Publication date: 16 November 2003

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0167-6687(00)00081-0

zbMATH Keywords

Arrow-Pratt indexconsumption/portfolio multi-period modelequilibrium market

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) General equilibrium theory (91B50)

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Endogenous Inverse Demand Functions, Esscher transforms and consumption-based models, An extension of the Wang transform derived from Bühlmann's economic premium principle for insurance risk, An efficient frontier for participating policies in a continuous-time economy, Actuarial risk measures for financial derivative pricing

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