A numerical approach to utility functions in risk theory

DOI10.1016/0167-6687(87)90004-7zbMath0602.62094OpenAlexW2000456565MaRDI QIDQ1082025

Werner Hürlimann

Publication date: 1987

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0167-6687(87)90004-7

zbMATH Keywords

utility functionsrisk theorysharing rulesrisk-exchangestandard equilibrium model

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Utility theory (91B16) Algorithms for approximation of functions (65D15)

Related Items (2)

Best bounds for expected financial payoffs. I: Algorithmic evaluation ⋮ ON SOME PROPERTIES OF TWO VECTOR-VALUED VAR AND CTE MULTIVARIATE RISK MEASURES FOR ARCHIMEDEAN COPULAS

Cites Work

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• Risk theory and serendipity
• Error bounds for stop-loss premiums calculated with the Fast Fourier Transform
• Discussion on W. Hürlimann: error bounds for stop-loss premiums calculated with the Fast Fourier Transform
• Numerische Berechnung von Gesamtschadenverteilungen
• Economic Equilibrium Under Uncertainty
• Equilibrium in a Reinsurance Market

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