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Market Consistent Pricing of Insurance Products

Published online by Cambridge University Press:  17 April 2015

Semyon Malamud ,
Eugene Trubowitz  and
Mario V. Wüthrich
Semyon Malamud
Affiliation:
ETH Zurich, Department of Mathematics, CH-8092 Zurich, Switzerland
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Abstract

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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.

Keywords

Market-consistent pricingequilibrium theoryutility maximizationoptimal consumption streaminsurance risknon-hedgeable riskidiosyncratic riskindifference pricepower utilityfirst order condition
Type
Articles
Information
ASTIN Bulletin: The Journal of the IAA , Volume 38 , Issue 2 , November 2008 , pp. 483 - 526
Copyright
Copyright © ASTIN Bulletin 2008

Footnotes

*

ETH Zurich, Department of Mathematics, CH-8092 Zurich, Switzerland.

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