Comparing utility derivative premia under additive and multiplicative risks

DOI10.1016/J.INSMATHECO.2023.02.006MaRDI QIDQ6116752zbMATHOpenAlexFDO

Authors Christoph Heinzel

Publication date 18 July 2023

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

Full work available at URL https://doi.org/10.1016/j.insmatheco.2023.02.006

zbMATH Keywords

comparative risk aversionutility premiummultiplicative riskprecautionary premiumhigher-order risk

Mathematics Subject Classification ID

Actuarial mathematics (91G05)

Recommendations

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• Utility indifference hedging with exponential additive processes
• Total and partial bivariate risk premia: an extension
• Risk pricing in a non-expected utility framework
• A multidimensional exponential utility indifference pricing model with applications to counterparty risk
• Utility indifference pricing of insurance catastrophe derivatives

Cites work

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• Higher-order generalizations of Arrow-Pratt and Ross risk aversion: a comparative statics approach
• Increasing outer risk
• Multiplicative Background Risk
• New results for additive and multiplicative risk apportionment
• On relative and partial risk attitudes: theory and implications
• On the intensity of downside risk aversion
• On the utility premium of Friedman and Savage
• Precautionary saving in the large: \(n\)th degree deteriorations in future income
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• Risk Vulnerability and the Tempering Effect of Background Risk
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• Ross risk vulnerability for introductions and changes in background risk
• Some Stronger Measures of Risk Aversion in the Small and the Large with Applications
• Standard Risk Aversion
• Stronger measures of higher-order risk attitudes
• Substituting one risk increase for another: a method for measuring risk aversion
• The economics of risk and time
• The effects of stochastic wages and non-labor income on labor supply: update and extensions
• The firm under uncertainty: real and financial decisions
• The monetary utility premium and interpersonal comparisons
• The utility premium of Friedman and Savage, comparative risk aversion, and comparative prudence

Cited in

(3)

• Beyond cash-additive risk measures: when changing the numéraire fails
• The monetary utility premium and interpersonal comparisons
• Additive and multiplicative risk premiums with multiple sources of risk

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