A note on utility based pricing and asymptotic risk diversification
type: Item
instance of: scholarly article
title: A note on utility based pricing and asymptotic risk diversification
zbMATH Open document ID: 1257.91025
author: Bruno Bouchard
author: Romuald Elie
author: L. Moreau
published in: Mathematics and Financial Economics
publication date: 2013-02-26T00:00:00Z
Mathematics Subject Classification ID: 91B30
Mathematics Subject Classification ID: 60H30
Mathematics Subject Classification ID: 91B16
Mathematics Subject Classification ID: 91B24
zbMATH DE Number: 6139063
zbMATH Keywords: utility indifference pricing
zbMATH Keywords: diversification
zbMATH Keywords: risk aversion
zbMATH Keywords: entropy
MaRDI profile type: Publication
full work available at URL: s11579-011-0055-0
OpenAlex ID: W2143141434
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cites work: Mortality derivatives and the option to annuitise.
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cites work: Pricing via utility maximization and entropy.
DOI: 10.1007/S11579-011-0055-0
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description: scientific article; zbMATH DE number 6139063