scholarly journals Pareto Optimality and Equilibrium in an Insurance Market

2008 ◽  
Vol 38 (2) ◽  
pp. 441-459 ◽  
Author(s):  
Alexey Y. Golubin
Keyword(s):  
Risk Aversion ◽  
Existence Theorem ◽  
Pareto Optimality ◽  
Market Risk ◽  
Utility Functions ◽  
Economic Equilibrium ◽  
Exponential Utility ◽  
Insurance Market ◽  
Reinsurance Market

The concept of economic equilibrium under uncertainty is applied to a model of insurance market where, in distinction to the classic Borch’s model of a reinsurance market, risk exchanges are allowed between the insurer and each insured only, not among insureds themselves. Conditions characterizing an equilibrium are found. A variant of the conditions, based on the Pareto optimality notion and involving risk aversion functions of the agents, is derived. An existence theorem is proved. Computation of the market premiums and optimal indemnities is illustrated by an example with exponential utility functions.

scholarly journals Pareto Optimality and Equilibrium in an Insurance Market

2008 ◽  
Vol 38 (02) ◽  
pp. 441-459 ◽  
Author(s):  
Alexey Y. Golubin
Keyword(s):  
Risk Aversion ◽  
Existence Theorem ◽  
Pareto Optimality ◽  
Market Risk ◽  
Utility Functions ◽  
Economic Equilibrium ◽  
Exponential Utility ◽  
Insurance Market ◽  
Reinsurance Market

The concept of economic equilibrium under uncertainty is applied to a model of insurance market where, in distinction to the classic Borch’s model of a reinsurance market, risk exchanges are allowed between the insurer and each insured only, not among insureds themselves. Conditions characterizing an equilibrium are found. A variant of the conditions, based on the Pareto optimality notion and involving risk aversion functions of the agents, is derived. An existence theorem is proved. Computation of the market premiums and optimal indemnities is illustrated by an example with exponential utility functions.

scholarly journals The General Economic Premium Principle

1984 ◽  
Vol 14 (1) ◽  
pp. 13-21 ◽  
Author(s):  
Hans Bühlmann
Keyword(s):  
Risk Aversion ◽  
Utility Functions ◽  
Exponential Utility ◽  
Risk Averse ◽  
Existence Of Equilibrium ◽  
Easy Proof ◽  
Quantitative Results

AbstractWe 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.

scholarly journals Estimation of Approximate Values of the Optimum Points on Efficient Portfolios Curve

2007 ◽  
Vol 6 (1) ◽  
pp. 99-106
Author(s):  
Henryk Kowgier
Keyword(s):  
Utility Functions ◽  
Exponential Utility ◽  
Efficient Portfolios

Estimation of Approximate Values of the Optimum Points on Efficient Portfolios Curve In the paper a method is found for estimating approximate optimum points on efficient portfolios curve (risk-profit) that are connected with exponential utility functions being very frequently preferred in practice by investors.

Power Law with Exponential Cut‐off Utility

Metamorphosis ◽  
2014 ◽  
Vol 13 (1) ◽  
pp. 26-32
Author(s):  
Afreen Arif H. ◽  
T.P.M. Pakkala
Keyword(s):  
Risk Aversion ◽  
Utility Function ◽  
Power Law ◽  
Risk Preferences ◽  
Portfolio Allocation ◽  
Utility Functions ◽  
Relative Risk Aversion ◽  
Optimal Solutions ◽  
New Class ◽  
Exponential Power

Most of the utility functions studied earlier concentrated on properties of risk aversion. In this article, the authors have introduced a new class of utility function called the Power Law with Exponential Cut-off (PLEC) utility function, which exhibits all the absolute and relative risk aversion and risk loving preferences of individuals, under various conditions. It generalises and encompasses other systems of utility functions like that of exponential power. Certain properties of this utility function are discussed. Sensitivity analysis exhibits different portfolio allocations for various risk preferences. The analysis also shows that arbitrary risk preferences may lead to biased risk response estimates. Performance of PLEC utility function in portfolio allocation problem is demonstrated through numerical examples. This is evaluated through optimal solutions.

Pareto optimality and risk sharing in group utility functions

2018 ◽  
Vol 50 (4) ◽  
pp. 298-306
Author(s):  
Zhengwei Sun ◽  
Ali E. Abbas
Keyword(s):  
Pareto Optimality ◽  
Risk Sharing ◽  
Utility Functions

Economic uptick may not spell recovery in Brazil

2020 ◽  
Keyword(s):  
Risk Aversion ◽  
Sovereign Debt ◽  
Market Risk ◽  
Debt Maturity ◽  
Bright Spot ◽  
Content Type ◽  
Interest Payments ◽  
Fiscal Spending

Significance Indicators bottomed out after April. Most economists now expect GDP to contract by 5.5-6.0% this year, a severe blow to an economy that had yet fully to recover the ground lost in the brutal 2015-16 recession, but less than the highly pessimistic forecasts prevailing during the initial months of the pandemic. Impacts Lower rates have reduced fiscal spending on interest payments, a rare bright spot on the fiscal side. Inflation remains low but fiscal deterioration may prevent further rate cuts. The recent fall in sovereign debt maturity could leave Brazil more exposed to sudden changes in market risk aversion.

scholarly journals The implications of first-order risk aversion for asset market risk premiums

1997 ◽  
Vol 40 (1) ◽  
pp. 3-39 ◽  
Author(s):  
Geert Bekaert ◽  
Robert J. Hodrick ◽  
David A. Marshall
Keyword(s):  
Risk Aversion ◽  
Market Risk ◽  
Asset Market ◽  
Risk Premiums ◽  
First Order
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