Abstract
Characterization theorems for several properties possessed by the customer equivalent utility insurance premium calculation principle are presented. Demonstrated theorems cover cases of additivity, consistency, iterativity, and scale invariance properties. Results are formulated in a form of necessary and sufficient conditions for attainment of the properties imposed on customer’s utility function. Obtained theorems are also valid for the customer zero utility premium calculation principle. We also demonstrate that for the customer zero utility principle subjected to pricing of only strictly positive risks, the class of the utility functions producing scale invariant premiums is larger than in the general case.
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Pratsiovytyi, M., Drozdenko, V. Characterization theorems for customer equivalent utility insurance premium calculation principle. Eur. Actuar. J. 4, 437–451 (2014). https://doi.org/10.1007/s13385-014-0096-x
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DOI: https://doi.org/10.1007/s13385-014-0096-x