A numerical approach to utility functions in risk theory
type: Item
instance of: scholarly article
title: A numerical approach to utility functions in risk theory
zbMATH Open document ID: 0602.62094
DOI: 10.1016/0167-6687(87)90004-7
published in: Insurance Mathematics \& Economics
publication date: 1987-01-01T00:00:00Z
review text: Given the standard equilibrium model for an insurance market and sharing rules defining a feasible risk-exchange, we want to determine numerically the utility functions leading to the equilibrium. In the special case of two companies we approximate the sharing rules by piecewise linear functions and give an algorithm to compute piecewise quadratic utility functions which are solutions of the equilibrium model. We apply our method to compare some insurance contracts. For this we introduce the notion of acceptability of an insurance contract and a risk equivalence property based on utility theory. The numerical examples lead to interesting interpretations which give some insight in the considered insurance contracts.
Mathematics Subject Classification ID: 62P05
Mathematics Subject Classification ID: 91B16
Mathematics Subject Classification ID: 65D15
zbMATH DE Number: 3972045
zbMATH Keywords: risk theory
zbMATH Keywords: standard equilibrium model
zbMATH Keywords: sharing rules
zbMATH Keywords: risk-exchange
zbMATH Keywords: utility functions
author: Werner Hürlimann
MaRDI profile type: Publication
full work available at URL: 0167-6687(87)90004-7
OpenAlex ID: W2000456565
cites work: Q3284257
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description: scientific article; zbMATH DE number 3972045