Utility Function from Maximum Entropy Principle
Copyright policy )Utility Function from Maximum Entropy Principle
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.
- University of Zanjan Iran (Islamic Republic of)
- Physics department Switzerland
Measures of information, entropy, Statistical Mechanics (cond-mat.stat-mech), Science, Physics, QC1-999, Q, risk aversion, FOS: Physical sciences, utility function, Astrophysics, risk aversion., QB460-466, FOS: Economics and business, utility function; price density; maximum entropy principle; risk aversion., Risk theory, insurance, maximum entropy principle, Pricing of Securities (q-fin.PR), price density, Utility theory, Quantitative Finance - Pricing of Securities, Condensed Matter - Statistical Mechanics
Measures of information, entropy, Statistical Mechanics (cond-mat.stat-mech), Science, Physics, QC1-999, Q, risk aversion, FOS: Physical sciences, utility function, Astrophysics, risk aversion., QB460-466, FOS: Economics and business, utility function; price density; maximum entropy principle; risk aversion., Risk theory, insurance, maximum entropy principle, Pricing of Securities (q-fin.PR), price density, Utility theory, Quantitative Finance - Pricing of Securities, Condensed Matter - Statistical Mechanics
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