On additive principles of zero utility

DOI10.1016/0167-6687(85)90036-8MaRDI QIDQ1069642zbMATH OpenOpenAlexWikidataFDO

Authors H. U. Gerber

Publication date 1985

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

Full work available at URL https://doi.org/10.1016/0167-6687(85)90036-8

zbMATH Keywords

additivityrisk aversionfunctional equationfifth order approximationlinear or exponential utilitypremium of a small riskprinciples of premium calculation

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05)

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• On iterative premium calculation principles under Cumulative Prospect Theory
• Zero utility principles coinciding on binary risks
• A note on subadditivity of zero-utility premiums
• Pricing insurance contracts under cumulative prospect theory
• Entropic risk measures: coherence vs. convexity, model ambiguity and robust large deviations
• A new characterization of distortion premiums via countable additivity for comonotonic risks
• Some new classes of consistent risk measures
• The tradeoff insurance premium as a two-sided generalisation of the distortion premium
• Perturbation calculus in risk theory: Application to chains and trees of reinsurance
• The zero utility principle for scale families of risk distributions
• On the small risk approximation
• Premium rating under non-exponential utility
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• Behavioral premium principles
• A note on additive risk measures in rank-dependent utility
• On quasi-convexity of the zero utility principle

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