A Discrete Time Benchmark Approach for Insurance and Finance
نویسندگان
چکیده
This paper proposes a consistent approach to discrete time valuation in insurance and finance. This approach uses the growth optimal portfolio as reference unit or benchmark. When used as benchmark, it is shown that all benchmarked price processes are supermartingales. Benchmarked fair price processes are characterized as martingales. No measure transformation is needed for the fair pricing of insurance policies and derivatives. The standard actuarial pricing rule is obtained as a particular case of fair pricing when the contingent claim is independent from the growth optimal portfolio. 1991 Mathematics Subject Classification: primary 90A12; secondary 60G30, 62P20. JEL Classification: G10, G13
منابع مشابه
A Discrete Time Benchmark Approach for Finance and Insurance
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