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.
Record created on 2009-10-12, modified on 2016-08-08