The Expected Utility Insurance Premium Principle with Fourth-Order Statistics: Does It Make a Difference?
The expected utility principle is often used to compute the insurance premium through a second-order approximation of the expected value of the utility of losses. We investigate the impact of using a more accurate approximation based on the fourth-order statistics of the expected loss and derive the...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
MDPI AG
2020-05-01
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| Series: | Algorithms |
| Subjects: | |
| Online Access: | https://www.mdpi.com/1999-4893/13/5/116 |