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.ISSN:0515-0361ISSN:1783-135
This paper uses a contingent claims framework to develop a financial pricing model of insurance that...
The theory of asset pricing takes its roots in the Arrow-Debreu model (see,for instance, Debreu 1959...
Pricing and hedging insurance contracts is hard to perform if we subscribe to the hypotheses of the ...
We present the first step in a program to develop a comprehensive, unified equilibrium theory of ass...
We present a general approach to the pricing of products in finance and insurance in the multi-perio...
Abstract. We present a general approach to the pricing of products in fi-nance and insurance in the ...
- Develop pricing methods for equity-linked products.- Reproduce the current market prices of standa...
This paper presents a universal framework for pricing financial and insurance risks. Examples are gi...
In this paper the problem of the market consistent valuation of a life insurance policies is conside...
We develop a continuous-time general-equilibrium model to rationalise the dynamics of insurance pric...
This paper examines an insurance or risk premium calculation method called the mean-value-distortion...
A market is presented in which actuarial risk is traded through both insurance and financial contrac...
Traditional Expected Value and Bayesian Methods of pricing insurance products are not robust both un...
In this paper we present an overview of the standard risk sharing model of insurance. We discuss and...
ACL-2International audienceWe develop a continuous-time general-equilibrium model to rationalise the...
This paper uses a contingent claims framework to develop a financial pricing model of insurance that...
The theory of asset pricing takes its roots in the Arrow-Debreu model (see,for instance, Debreu 1959...
Pricing and hedging insurance contracts is hard to perform if we subscribe to the hypotheses of the ...
We present the first step in a program to develop a comprehensive, unified equilibrium theory of ass...
We present a general approach to the pricing of products in finance and insurance in the multi-perio...
Abstract. We present a general approach to the pricing of products in fi-nance and insurance in the ...
- Develop pricing methods for equity-linked products.- Reproduce the current market prices of standa...
This paper presents a universal framework for pricing financial and insurance risks. Examples are gi...
In this paper the problem of the market consistent valuation of a life insurance policies is conside...
We develop a continuous-time general-equilibrium model to rationalise the dynamics of insurance pric...
This paper examines an insurance or risk premium calculation method called the mean-value-distortion...
A market is presented in which actuarial risk is traded through both insurance and financial contrac...
Traditional Expected Value and Bayesian Methods of pricing insurance products are not robust both un...
In this paper we present an overview of the standard risk sharing model of insurance. We discuss and...
ACL-2International audienceWe develop a continuous-time general-equilibrium model to rationalise the...
This paper uses a contingent claims framework to develop a financial pricing model of insurance that...
The theory of asset pricing takes its roots in the Arrow-Debreu model (see,for instance, Debreu 1959...
Pricing and hedging insurance contracts is hard to perform if we subscribe to the hypotheses of the ...