Abstract
We give an extension of the Economic Premium Principle treated in ASTIN Bulletin, Volume 11 where only exponential utility functions were admitted. The case of arbitrary risk averse utility functions leads to similar quantitative results. The role of risk aversion in the treatment is essential. It also permits an easy proof for the existence of equilibrium.
Keywords: Mathematical economics, equilibrium theory, premium principles.
Volume
14:1
Page
13-22
Year
1984
Categories
Financial and Statistical Methods
Risk Pricing and Risk Evaluation Models
Utility Theory
Publications
ASTIN Bulletin
