On convex principles of premium calculation
type: Item
instance of: scholarly article
title: On convex principles of premium calculation
zbMATH Open document ID: 0579.62090
DOI: 10.1016/0167-6687(85)90014-9
author: Olivier Deprez
author: H. U. Gerber
published in: Insurance Mathematics \& Economics
publication date: 1985-01-01T00:00:00Z
review text: Related to the doctoral dissertation of the first author the paper introduces the concept of a convex premium calculation principle and discusses a variety of properties related to this. If premiums are calculated according to convex principles, the authors consider the problem of optimal cooperation. They give general solutions which generalize the results of \textit{H. Bühlmann}, Mathematical methods in risk theory. (1970; Zbl 0209.233) and \textit{H. U. Gerber}, An introduction to mathematical risk theory. (1980; Zbl 0431.62066).
Mathematics Subject Classification ID: 62P05
zbMATH DE Number: 3928159
zbMATH Keywords: utility
zbMATH Keywords: quotas
zbMATH Keywords: Pareto-optimality
zbMATH Keywords: equilibria
zbMATH Keywords: convex premium calculation principle
zbMATH Keywords: optimal cooperation
zbMATH Keywords: risk theory
reviewed by: Axel Reich
MaRDI profile type: Publication
full work available at URL: 0167-6687(85)90014-9
OpenAlex ID: W2080427196
cites work: Q5609896
cites work: Q4085497
cites work: Q3314810
description: scientific article; zbMATH DE number 3928159