Abstract
Utility theory is discussed as a basis for premium calculation. Desirable features of utility functions are enumerated, including decreasing absolute risk aversion. Examples are given of functions meeting this requirement. Calculating premiums for simplified risk situations is advanced as a step towards selecting a specific utility function. An example of a more typical portfolio pricing problem is included.
Volume
LXX
Page
144-155
Year
1983
Categories
Financial and Statistical Methods
Risk Pricing and Risk Evaluation Models
Utility Theory
Publications
Proceedings of the Casualty Actuarial Society
