Market Consistent Pricing of Insurance Products

Semyon Malamud, Eugene Trubowitz and Mario V. Wüthrich

ASTIN Bulletin, 2008, vol. 38, issue 2, 483-526

Abstract: We present the first step in a program to develop a comprehensive, 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.

Date: 2008
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