Premium Calculation Implications of Reinsurance Without Arbitrage

Gary G. Venter

ASTIN Bulletin, 1991, vol. 21, issue 2, 223-230

Abstract: Constraints imposed on premium calculation principles are studied under one aspect of competitive market theory: the impossibility of systematic arbitrage. Principles based on second moments or utility theory are shown to lead to arbitrage possibilities, while some other principles do not.

Date: 1991
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