On additive principles of zero utility

DOI10.1016/0167-6687(85)90036-8zbMATH Open0584.62172OpenAlexW1981932471WikidataQ127098638 ScholiaQ127098638MaRDI QIDQ1069642FDOQ1069642

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)

Cites Work

• Title not available (Why is that?)

Cited In (12)

• ENTROPIC RISK MEASURES: COHERENCE VS. CONVEXITY, MODEL AMBIGUITY AND ROBUST LARGE DEVIATIONS
• Behavioral premium principles
• Decision principles derived from risk measures
• Perturbation calculus in risk theory: Application to chains and trees of reinsurance
• On the small risk approximation
• Zero utility principles coinciding on binary risks
• Pricing insurance contracts under cumulative prospect theory
• The tradeoff insurance premium as a two-sided generalisation of the distortion premium
• Some new classes of consistent risk measures
• A note on additive risk measures in rank-dependent utility
• The zero utility principle for scale families of risk distributions
• A new characterization of distortion premiums via countable additivity for comonotonic risks

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