A Note on Iterative Premium Calculation Principles

Marc Goovaerts and F. De Vylder

ASTIN Bulletin, 1979, vol. 10, issue 3, 325-329

Abstract: Gerber (1974) has given a characterization of the exponential utility function by proving the fact that a premium calculation principle of zero utility is iterative iff the underlying utility function is linear or exponential. In the present note we prove the more general result that the premium calculation principle introduced by Bühlmann, Gagliardi, Gerber and Straub (1977) is iterative iff the underlying function v is linear or exponential or when the principle is a mean value principle.

Date: 1979
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