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The General Economic Premium Principle*

Published online by Cambridge University Press:  29 August 2014

Hans Bühlmann
Hans Bühlmann*
Affiliation:
Zürich
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Abstract

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We give an extension of the Economic Premium Principle treated in Astin Bulletin, Volume 11 where only exponential utility functions were admitted. The case of arbitrary risk averse utility functions leads to similar quantitative results. The role of risk aversion in the treatment is essential. It also permits an easy proof for the existence of equilibrium.

Keywords

Mathematical economicsequilibrium theorypremium principles
Type
Research Article
Information
ASTIN Bulletin: The Journal of the IAA , Volume 14 , Issue 1 , April 1984 , pp. 13 - 21
Copyright
Copyright © International Actuarial Association 1984

Footnotes

*

presented at the Meeting on Risk Theory September 1982 in Oberwolfach

References

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