Market Consistent Pricing of Insurance Products

We present the first step in a program to develop a comprehen- sive, unified equilibrium theory of asset and liability pricing. We give a mathematical framework for pricing insurance products in a multiperiod financial market. This framework reflects classical economic principles (like utility maximization) and generates pricing algorithms for non-hedgeable insurance risks.


Published in:
Astin Bulletin, 38, 2, 483 - 526
Year:
2008
Laboratories:




 Record created 2009-10-12, last modified 2018-03-17


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