Add to ORKGWith the aid of Taylor-based approximations, this paper presents results for pricing insurance contracts by using indifference pricing under general utility functions. We discuss the connection between the resulting "theoretical" indifference prices and the pricing rule-of-thumb that practitioners use: Best Estimate plus a "Market Value Margin". Furthermore, we compare our approximations with known analytical results for exponential and power utility
The recent surge of the insurance products such as Universal Variable Life poses a challenging probl...
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 ...
With the aid of Taylor-based approximations, this paper presents results for pricing insurance contr...
Abstract. With the aid of Taylor-based approximations, this paper presents re-sults for pricing insu...
This paper considers exponential utility indifference pricing for a multidimensional non-traded asse...
Abstract. Utility indifference pricing and hedging theory is presented, showing how it leads to line...
Utility indifference pricing and hedging theory is presented, showing how it leads to linear or to n...
We study utility indifference pricing of claim streams with intertemporal consumption and constant r...
International audienceWe study the utility indifference price of a European option in the context of...
In this paper, we investigate the pricing problem of a pure endowment contract when the insurance co...
We propose, in this paper, a new valuation method for a contingent claim, which approximates to the ...
Abstract. We consider the problem of pricing derivatives written on some industrial loss index via u...
In this paper, we work on indifference valuation of variable annuities and give a computation method...
We study utility indifference pricing of claim streams with intertem- poral consumption and power (CR...
The recent surge of the insurance products such as Universal Variable Life poses a challenging probl...
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 ...
With the aid of Taylor-based approximations, this paper presents results for pricing insurance contr...
Abstract. With the aid of Taylor-based approximations, this paper presents re-sults for pricing insu...
This paper considers exponential utility indifference pricing for a multidimensional non-traded asse...
Abstract. Utility indifference pricing and hedging theory is presented, showing how it leads to line...
Utility indifference pricing and hedging theory is presented, showing how it leads to linear or to n...
We study utility indifference pricing of claim streams with intertemporal consumption and constant r...
International audienceWe study the utility indifference price of a European option in the context of...
In this paper, we investigate the pricing problem of a pure endowment contract when the insurance co...
We propose, in this paper, a new valuation method for a contingent claim, which approximates to the ...
Abstract. We consider the problem of pricing derivatives written on some industrial loss index via u...
In this paper, we work on indifference valuation of variable annuities and give a computation method...
We study utility indifference pricing of claim streams with intertem- poral consumption and power (CR...
The recent surge of the insurance products such as Universal Variable Life poses a challenging probl...
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 ...