Banner Ad 1

Collapse

Announcement

Collapse
No announcement yet.

Utility function - risk averse?

Collapse
X
 
  • Filter
  • Time
  • Show
Clear All
new posts

  • BeanCounter
    replied
    You can also find this function from one of the SOA recommended Exam P textbook, Probability for Risk Management. However, it is not required for Exam P.

    Leave a comment:


  • Outlaw
    replied
    Oh ok, I don't plan on taking any Actuarial exam though, just took a Actuarial math class at my college to get a feel of Actuarial Math. Thanks for the reply.

    Leave a comment:


  • NoMoreExams
    replied
    Originally posted by Outlaw View Post
    Oops, Its from the textbook Bowers Actuarial Mathematics...
    That textbook is 3/MLC though when I passed that exam, utility functions weren't on there. They did change the syllabus however so it's possible they added it.

    Leave a comment:


  • Outlaw
    replied
    Oops, Its from the textbook Bowers Actuarial Mathematics...

    Leave a comment:


  • NoMoreExams
    replied
    Originally posted by Outlaw View Post
    How do you confirm that the utility function u(w) = log w, w > 0,
    is the utility function of a decision maker who is risk averse for w > 0?

    I came up with...
    u'(w) = 1/w ---------> Positive so w > 0
    u''(w) = -1/w^2 -------------> Negative so w < 0?
    So how to you confirm its risk averse for w > 0?
    Since when did they add this to 1/P?

    Leave a comment:


  • Outlaw
    started a topic Utility function - risk averse?

    Utility function - risk averse?

    How do you confirm that the utility function u(w) = log w, w > 0,
    is the utility function of a decision maker who is risk averse for w > 0?

    I came up with...
    u'(w) = 1/w ---------> Positive so w > 0
    u''(w) = -1/w^2 -------------> Negative so w < 0?
    So how to you confirm its risk averse for w > 0?
Working...
X