Find_x_theta_PU_Numerous: Concavification Technique for many insured

In belangerjulie15/Optimisation.Power.Utility: Functions: Optimizing with the Power Utility

Description

Finds the value of the concavification point in Carpenter (2000); the point that makes an optimisation function concave again for a insured people group optimisation

Usage

Find_x_theta_PU_Numerous(b_o, a_o, K_o, vector_gamma)

Arguments

b_o	The strike price of the call option (variable annuity)
a_o	The multiplicator factor of the call option (variable annuity)
K_o	The constant that is added to the payoff (equal to b_o most of the time)
gamma_o	. Vector of all the Gamma of each of the insured. Each gamma must be different than 0

Value

The concavification point of the optimization function

Examples

Find_x_theta_PU_Numerous(b_o=1,a_o=1,K_o=1,vector_gamma=c(2,3,5))

belangerjulie15/Optimisation.Power.Utility documentation built on May 13, 2020, 5:39 a.m.