Extended Reduced-Form Framework for Non-Life Insurance

Francesca Biagini and Yinglin Zhang

Papers from arXiv.org

Abstract: In this paper we propose a general framework for modeling an insurance liability cash flow in continuous time, by generalizing the reduced-form framework for credit risk and life insurance. In particular, we assume a nontrivial dependence structure between the reference filtration and the insurance internal filtration. We apply these results for pricing and hedging non-life insurance liabilities in hybrid financial and insurance markets, while taking into account the role of inflation under the benchmarked risk-minimization approach. This framework offers at the same time a general and flexible structure, and an explicit and treatable pricing-hedging formula.

Date: 2018-02, Revised 2022-06
New Economics Papers: this item is included in nep-ias and nep-rmg
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Published in Advances in Applied Probability, 2022, 1-29

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Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:1802.07741

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