Market Consistent Pricing of Insurance Products
Copyright policy )Market Consistent Pricing of Insurance Products
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.
- ETH Zurich Switzerland
- Swiss Finance Institute
- École Polytechnique Fédérale de Lausanne EPFL Switzerland
- Economic Policy Institute United States
- Swiss Finance Institute Switzerland
equilibrium theory of asset and liability pricing, equilibrium theory, Market-consistent pricing, non-hedgeable risk, utility maximization, idiosyncratic risk, Market-consistent pricing; equilibrium theory; utility maximization; optimal consumption stream; insurance risk; non-hedgeable risk; idiosyncratic risk; indifference price; power utility; first order condition, power utility, Asset pricing models, pricing of insurance products in multiperiod financial market, optimal consumption stream, Risk theory, insurance, insurance risk, indifference price, first order condition
equilibrium theory of asset and liability pricing, equilibrium theory, Market-consistent pricing, non-hedgeable risk, utility maximization, idiosyncratic risk, Market-consistent pricing; equilibrium theory; utility maximization; optimal consumption stream; insurance risk; non-hedgeable risk; idiosyncratic risk; indifference price; power utility; first order condition, power utility, Asset pricing models, pricing of insurance products in multiperiod financial market, optimal consumption stream, Risk theory, insurance, insurance risk, indifference price, first order condition
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