NP-Technique As A Tool in Decision Making

It is likely that in tile future applications of actuarial methods to the decision making in non-life companies will more and more relate to the utility concept as was proposed by K. Borch [i] about fifteen years ago. In this connection it will be important to have workable numerical methods. The calculation of the distribution function of the profit is an unavoidable problem from a practical point of view. Even if it is possible to compute this function today accurately with computers by using the ingenious technique developed by H. Bohman [2], integrals become very laborious when applied to the decision making procedure based on utility concepts. This paper intends to show that the NP-technique,--proposed for the first time by L. Kauppi and P. Ojantakanen in actuarial science [3]--, is particularly suitable in integrals needed for utility calculations.