On some problem of determination of insurance premium leading to functional equation (Q2739848)
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scientific article; zbMATH DE number 1646318
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | On some problem of determination of insurance premium leading to functional equation |
scientific article; zbMATH DE number 1646318 |
Statements
16 September 2001
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harm function
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portfolio of independent risks
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utility
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harm of insurance company
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0.8744216
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0.85997295
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0.83723503
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0.83339745
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0.8309287
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0.82505894
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On some problem of determination of insurance premium leading to functional equation (English)
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The author considers a portfolio of independent risks, say \(\xi\) and \(\eta\) (considered as nonnegative random variables). It is proposed to describe the harm of the risk in terms of mathematical expectations of ``harm functions'' (something inverse to the utility). The harm of the risk \(\xi\) is \({\mathbf E}L(\xi)\), where \(L\) is the harm function of the insurance company. The net premium for the risk is \( P=L^{-1}({\mathbf E}L(\xi))(1+\lambda) \), where \(\lambda\) is a loading. The author discuss a possible premium for a portfolio of two risks for different harm functions.
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