TY - JOUR
T1 - Optimal initial capital induced by the optimized certainty equivalent
AU - Arai, Takuji
AU - Asano, Takao
AU - Nishide, Katsumasa
N1 - Funding Information:
We acknowledge the editor, associate editor, and two anonymous reviewers whose comments improved this paper substantially. We are grateful to Chiaki Hara, Shigeo Kusuoka, and Kazutoshi Yamazaki for their helpful comments. This research is partially supported by the MEXT Grant in Aid for Scientific Research (A) #25245046, (A) #16H02026, (B) #15H02965, (B) #16H03619, (C) #17K03797, (C) #15K04936, (C) #16K03558, (C) #17K03806, and the Joint Research Program of KIER, Kyoto University.
Publisher Copyright:
© 2019 Elsevier B.V.
PY - 2019/3
Y1 - 2019/3
N2 - 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.
AB - 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.
KW - Convex risk measure
KW - Monetary utility function
KW - Optimal initial capital
KW - Optimized certainty equivalent
KW - Prudence premium
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U2 - 10.1016/j.insmatheco.2019.01.006
DO - 10.1016/j.insmatheco.2019.01.006
M3 - Article
AN - SCOPUS:85060700991
SN - 0167-6687
VL - 85
SP - 115
EP - 125
JO - Insurance: Mathematics and Economics
JF - Insurance: Mathematics and Economics
ER -