Optimal initial capital induced by the optimized certainty equivalent

DOI10.1016/j.insmatheco.2019.01.006zbMath1419.91347OpenAlexW2778880576WikidataQ128555564 ScholiaQ128555564MaRDI QIDQ1735038

Takao Asano, Katsumasa Nishide, Takuji Arai

Publication date: 28 March 2019

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

Full work available at URL: http://www.kier.kyoto-u.ac.jp/DP/DP981.pdf

zbMATH Keywords

convex risk measuremonetary utility functionoptimal initial capitaloptimized certainty equivalentprudence premium

Mathematics Subject Classification ID

Uses Software

• ROME

Cites Work

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