Additive and multiplicative risk premiums with multiple sources of risk

DOI10.1080/03461238.1987.10413816zbMATH Open0633.62105OpenAlexW2082224788MaRDI QIDQ3771468

Neil A. Doherty

Publication date: 1987

Published in: Scandinavian Actuarial Journal (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03461238.1987.10413816

zbMATH Keywords

background riskrisk premiumadditive risksmean-variance settingmultiplicative risks

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05)

Cites Work

• Preservation of More risk averse under expectations
• Risk Aversion with Random Initial Wealth
• Some Stronger Measures of Risk Aversion in the Small and the Large with Applications
• Risk Aversion in the Small and in the Large

Related Items (6)

The short-run shutdown decision when output price and initial wealth are random ⋮ Total and partial bivariate risk premia: an extension ⋮ Comparing utility derivative premia under additive and multiplicative risks ⋮ New results for additive and multiplicative risk apportionment ⋮ The multi-year non-life insurance risk in the additive loss reserving model ⋮ Multiplicative risk apportionment

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