Abstract
We try to understand how agents take decisions. We assume that agents always act rationally and measure their wealth by a utility function. We determine the minimal premium an agent needs to take over a risk or the maximal premium an agent accepts to underwrite an insurance contract. We determine optimal insurance contracts. Finally, we study the sharing of risk such that no agent can improve his/her position without deteriorating the position of another.
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Schmidli, H. (2017). Utility Theory. In: Risk Theory. Springer Actuarial(). Springer, Cham. https://doi.org/10.1007/978-3-319-72005-0_2
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DOI: https://doi.org/10.1007/978-3-319-72005-0_2
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Publisher Name: Springer, Cham
Print ISBN: 978-3-319-72004-3
Online ISBN: 978-3-319-72005-0
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