2014 | OriginalPaper | Buchkapitel
Calibration of Utility Function and Mixture Premium
verfasst von : Jana Špirková
Erschienen in: Information Processing and Management of Uncertainty in Knowledge-Based Systems
Verlag: Springer International Publishing
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Calibration of the different types of utility functions of money is discussed in this paper. This calibration is based on an expected utility maximization of different alternatives of investment strategies which are offered to persons in a short questionnaire. Investigated utility functions have different Arrow-Pratt absolute and relative risk aversion coefficients. Moreover, the paper proposes a basic concept of uncertainty modeling by the chosen utility functions for the determination of so-called maximum mixture premium in non-life insurance. This concept is based on aggregation of maximum premiums by so-called mixture function with the selected weighting function. A case study is included.