Disappointment aversion premium principle

DOI10.1017/ASB.2015.12zbMATH Open1390.91131OpenAlexW2309428600MaRDI QIDQ4563754FDOQ4563754

Authors:

Publication date: 4 June 2018

Published in: ASTIN Bulletin (Search for Journal in Brave)

Full work available at URL: https://ap01.alma.exlibrisgroup.com/view/delivery/61USOUTHAUS_INST/12142894470001831

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zbMATH Keywords

explicit representationscapital reserve regulatory requirementdisappointment aversion theoryequivalent utility premium principlegeneralized Arrow-Pratt approximation

Mathematics Subject Classification ID

Utility theory (91B16)

Cites Work

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Cited In (4)

• An explicit representation for disappointment aversion and other betweenness preferences
• A constraint-free approach to optimal reinsurance
• Optimal reinsurance and investment strategy with two piece utility function
• The impact of quantity commitment with disappointment-averse and elation-seeking consumers

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