Optimal initial capital induced by the optimized certainty equivalent
Takao Asano and
Insurance: Mathematics and Economics, 2019, vol. 85, issue C, 115-125
This paper proposes the notion of optimal initial capital (OIC) induced by the optimized certainty equivalent (OCE), as discussed in Ben-Tal and Teboulle (1986) and Ben-Tal and Teboulle (2007). It also investigates the properties of the OIC with various types of utility functions. It is shown that the OIC can be a monetary utility function (negative value of risk measure) for future payoffs with the decision maker’s concrete criteria in the background.
Keywords: Optimal initial capital; Optimized certainty equivalent; Monetary utility function; Prudence premium; Convex risk measure (search for similar items in EconPapers)
JEL-codes: D81 G32 G11 D46 (search for similar items in EconPapers)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:insuma:v:85:y:2019:i:c:p:115-125
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