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Document Details : Title: A Universal Framework for Pricing Financial and Insurance Risks Author(s): WANG, S. Journal: ASTIN Bulletin Volume: 32 Issue: 2 Date: November 2002 Pages: 213-234 DOI: 10.2143/AST.32.2.1027 Abstract : 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. |
