Optimal Premium Principles and Capital Allocation Principles - The General Case

Yaniv Zaks
2010 Social Science Research Network  
Some recent papers, as Zaks et al.(2006 ), Frostig et al.(2007 and Dhaene et al.(2009) , are dealing with capital allocation and premium pricing as optimization problems. In these papers the authors are considering some constraints on the convex function and they nd an explicit solution in each case. In this paper we prove the existence of a unique solution where each class has a dierent convex function. Moreover, we give an explicit solution in case the convex functions have a second
more » ... a second derivative. we are dealing with the primal and the dual problems as dened in Zaks et al.(2006) . The last part of this paper consider these optimization problems from a utility point of view, here the calculations are made in terms of utility instead of money.
doi:10.2139/ssrn.1625155 fatcat:3w223vqbprejrfcu7txvh6opgm