Utility Function from Maximum Entropy Principle
AbstractRecently 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.
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Darooneh, A.H. Utility Function from Maximum Entropy Principle. Entropy 2006, 8, 18-24.
Darooneh AH. Utility Function from Maximum Entropy Principle. Entropy. 2006; 8(1):18-24.Chicago/Turabian Style
Darooneh, Amir H. 2006. "Utility Function from Maximum Entropy Principle." Entropy 8, no. 1: 18-24.