A Universal Framework for Pricing Financial and Insurance Risks
نویسنده
چکیده
This paper presents a universal framework for pricing financial and insurance risks. Examples are given for pricing contingent payoffs, where the underlying asset or liability can be either traded or not traded. The paper also outlines an application of the framework to prescribe capital allocations within insurance companies, and to determine fair values of insurance liabilities. 1 SCOR Reinsurance Co, E-mail: [email protected]
منابع مشابه
A Universal Framework For Pricing Financial And Insurance Risks - Proceedings AFIR 2001 - Toronto, Canada
This paper presents a universal framework for pricing financial and insurance risks. Examples are given for pricing contingent payoffs, where the underlying asset or loss can be either traded or not traded. The paper also outlines an application of the framework to prescribe capital allocations within insurance companies, and to determine fair value for insurance liabilities.
متن کاملA Universal Framework For Pricing Financial And Insurance Risks - Proceedings ASTIN 2001 - Washington, United States of America
This paper presents a universal framework for pricing financial and insurance risks. Examples are given for pricing contingent payoffs, where the underlying asset or liability can be either traded or not traded. The paper also outlines an application of the framework to prescribe capital allocations within insurance companies, and to determine fair value for insurance liabilities.
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