Kelly bound on house insurance premium
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| import numpy as np | |
| probability = 1/10000 | |
| wealth = 120000 | |
| houseValue = 100000 | |
| bound = probability * np.log(wealth - houseValue) \ | |
| + (1 - probability) * np.log(wealth) | |
| maxPremium = wealth - np.exp(bound) | |
| maxPremium | |
| # 21.499187504436122 |
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