Optimal initial capital induced by the optimized certainty equivalent

Takuji Arai, Takao Asano and Katsumasa Nishide

Insurance: Mathematics and Economics, 2019, vol. 85, issue C, 115-125

Abstract: 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: D46 D81 G11 G32 (search for similar items in EconPapers)
Date: 2019
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0167668718302580
Full text for ScienceDirect subscribers only

Related works:
Working Paper: Optimal Initial Capital Induced by the Optimized Certainty Equivalent (2017)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:insuma:v:85:y:2019:i:c:p:115-125

DOI: 10.1016/j.insmatheco.2019.01.006

Access Statistics for this article

Insurance: Mathematics and Economics is currently edited by R. Kaas, Hansjoerg Albrecher, M. J. Goovaerts and E. S. W. Shiu

More articles in Insurance: Mathematics and Economics from Elsevier
Bibliographic data for series maintained by Catherine Liu ().