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Document Details : Title: Market Consistent Pricing of Insurance Products Author(s): MALAMUD, Semyon , TRUBOWITZ, Eugene , WÜTHRICH, Mario V. Journal: ASTIN Bulletin Volume: 38 Issue: 2 Date: November 2008 Pages: 483-526 DOI: 10.2143/AST.38.2.2033351 Abstract : 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. |
