A Note on Iterative Premium Calculation Principles
- 1 December 1979
- journal article
- research article
- Published by Cambridge University Press (CUP) in ASTIN Bulletin
- Vol. 10 (3) , 325-329
- https://doi.org/10.1017/s0515036100005961
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.Keywords
This publication has 1 reference indexed in Scilit:
- Some Inequalities for Stop-Loss PremiumsASTIN Bulletin, 1977