Author:
Goovaerts M. J.,Vylder F. De
Abstract
Gerber (1974) has given a characterization of the exponential utility function by proving the fact that a premium calculation principle of zero utility is iterative iff the underlying utility function is linear or exponential. In the present note we prove the more general result that the premium calculation principle introduced by Bühlmann, Gagliardi, Gerber and Straub (1977) is iterative iff the underlying function v is linear or exponential or when the principle is a mean value principle.
Publisher
Cambridge University Press (CUP)
Subject
Economics and Econometrics,Finance,Accounting
Reference3 articles.
1. Some Inequalities for Stop-Loss Premiums
2. On Iterative Premium Calculation Principles;Gerber;Mitteilungen der Vereinigung schweizerischer Versicherungsmathematiker,1974
Cited by
10 articles.
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