Economics at your fingertips  

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

Downloads: (external link)
Full text for ScienceDirect subscribers only

Related works:
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:

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 Dana Niculescu ().

Page updated 2019-05-11
Handle: RePEc:eee:insuma:v:85:y:2019:i:c:p:115-125