Production decision of agricultural products: A game model based on negative exponential utility function

2019 ◽  
Vol 37 (5) ◽  
pp. 6139-6149 ◽  
Author(s):  
Gang Chen
Keyword(s):  
Utility Function ◽  
Agricultural Products ◽  
Exponential Utility ◽  
Game Model ◽  
Model Based ◽  
Negative Exponential ◽  
Production Decision ◽  
Exponential Utility Function

Information in Fleeting Opportunities

2013 ◽  
pp. 110-153
Author(s):  
Ibrahim Almojel ◽  
Jim Matheson ◽  
Pelin Canbolat
Keyword(s):  
Utility Function ◽  
Decision Maker ◽  
Optimal Policy ◽  
Value Of Information ◽  
Risk Preference ◽  
Dynamic Program ◽  
Exponential Utility ◽  
Venture Capitalists ◽  
Exponential Utility Function ◽  
Over Time

This paper focuses on the study of information in fleeting opportunities. An application example is the evaluation of business proposals by venture capitalists. The authors formulate the generic problem as a dynamic program where the decision maker can either accept a given deal directly, reject it directly, or seek further information on its potential and then decide whether to accept it or not. Results show well behaved characteristics of the optimal policy, deal flow value, and the value of information over time and capacity. It is presumed that the risk preference of the decision maker follows a linear or an exponential utility function. This approach is illustrated through several examples.

scholarly journals The Risk Averse Investor's Equilibrium Equity Premium in a Semi Martingale Market with Arbitrary Jumps

2016 ◽  
Vol 8 (6) ◽  
pp. 139
Author(s):  
George M. Mukupa ◽  
Elias R. Offen ◽  
Edward M. Lungu
Keyword(s):  
Utility Function ◽  
Risk Premium ◽  
Rare Event ◽  
Equity Premium ◽  
Risk Averse ◽  
Bond Price ◽  
Risk Free Rate ◽  
Negative Exponential ◽  
Exponential Utility Function ◽  
Free Rate

In this paper, we study the risk averse investor's equilibrium equity premium in a semi martingale market with arbitrary jumps. We realize that,  if we normalize the market, the equilibrium equity premium is consistent to taking the risk free rate $\rho=0$ in martingale markets. We also observe that the value process affects both the diffusive and rare-event premia except for the CARA negative exponential utility function. The bond price always affect the diffusive risk premium for this risk averse investor.

scholarly journals How to Define a Bonus-Malus System with an Exponential Utility Function

1979 ◽  
Vol 10 (3) ◽  
pp. 274-282 ◽  
Author(s):  
Jean Lemaire
Keyword(s):  
Utility Function ◽  
Expected Value ◽  
Exponential Utility ◽  
Third Party ◽  
Liability Insurance ◽  
Rating System ◽  
Exponential Utility Function

We compute a merit-rating system for automobile third party liability insurance by two different ways, both with the help of an exponential utility function.(i) We apply the principle of zero utility to exponential utilities.(ii) We break the symmetry between the overcharges and the undercharges by weighting them differently through the introduction of a utility function, in order to penalize the overcharges.The results are applied to the portfolio of a Belgian company and compared to the premium system provided by the expected value principle.Deux méthodes différentes, basées sur l'emploi de fonctions d'utilité exponentielles nous permettent de définir un système bonus-malus en assurance automobile:(i) le principe de l'utilité nulle;(ii) la pénalisation des injustices de la compagnie, obtenue en pondérant les erreurs de prime au moyen d'une fonction d'utilité de manière à briser la symétrie entre les primes trop élevées et les primes trop basses.Les résultats théoriques sont appliqués au portefeuille d'une compagnie belge et comparés aux primes fournies par le principe de l'espérance mathématique.

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