Abstract
The Pareto-optimal design for profit-sharing is derived under general assumptions as to the utility function of both the insured and the insurer. This generalizes the result of Jones and Gerber and explains commonly used dividend formulas m terms of risk aversion.
Keywords Profit-sharing, Pareto-optimality; optimal control theory.
Volume
18:1
Page
47-56
Year
1988
Categories
Financial and Statistical Methods
Risk Pricing and Risk Evaluation Models
Utility Theory
Actuarial Applications and Methodologies
Valuation
Publications
ASTIN Bulletin
