Abstract
Gerber has given a characterization of the exponential utility function by proving the fact that a premium calculation principle of zero utility is iterative if the underlying utility function is linear or exponential. In the present note we prove the more general result that the premium calculation principle introduced by Buhlmann, Gagliardi, Gerber and Straub is iterative if the underlying function "e" is linear or exponential or when the principle is a mean value principle.
Premium Analysis
Volume
10:3
Page
329
Year
1979
Categories
Financial and Statistical Methods
Risk Pricing and Risk Evaluation Models
Utility Theory
Publications
ASTIN Bulletin
