AN ECONOMIC PREMIUM PRINCIPLE IN A CONTINUOUS-TIME ECONOMY(Special Issue on Theory, Methodology and Applications in Financial Engneering)

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概要

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• This paper considers a continuous-time economic equilibrium model for deriving the economic premium principle of Buhlmann and Iwaki, Kijima and Morimoto. In order to do this, we construct a continuous-time consumption/portfolio model, and consider an equilibrium in a pure-exchange economy. The state price density in equilibrium is obtained in terms of the Arrow-Pratt index of absolute risk aversion for a representative agent. As special cases, power and exponential utility functions are examined, and we derive an endogenously decided equilibrium insurance premium in explicit form.

• 社団法人日本オペレーションズ・リサーチ学会の論文

著者

• Iwaki Hideki

  Kyoto University

関連論文

• AN ECONOMIC PREMIUM PRINCIPLE IN A CONTINUOUS-TIME ECONOMY(Special Issue on Theory, Methodology and Applications in Financial Engneering)
• Increase in Risk and Comparative Static Analysis

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