Utility Function from Maximum Entropy Principle

Entropy

关键词: utility function;    price density;    maximum entropy principle;    risk aversion.;   

DOI  :  10.3390/e8010018

来源: mdpi

【 摘 要 】

Recently we used the maximum entropy principle for finding the price density in a multi agent insurance market. The result is similar to what the Buhlmann had obtained by maximizing the utility function. Here we begin with the price density that is derived by applying the maximum entropy principle to a conservative economic system (exchange market), then reverse the Buhlmann calculation to find the utility function and the risk aversion of agents with respect to this density.

【 授权许可】

CC BY   
This is an open access article distributed under the Creative Commons Attribution License (CC BY) which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited.