Protection of a Company Issuing a Certain Class of Participating Policies in a Complete Market Framework
University of Waterloo
Olivier Le Courtois
EM Lyon (Ecole de Management de Lyon) - Department of Economics, Finance, Control
EMLYON Business School
June 1, 2007
North American Actuarial , Vol. 14, No. 1, pp. 131-149, 2010
This study is devoted to the calculation of appropriate premia and loadings for participating contracts. Our analysis aims at extending the ideas of Buehlmann , and is sequencing the fundamental works of Merton , Longstaff and Schwartz , Briys and de Varenne [1994, 2001]. Estimating safety loadings in a fair value context is an ongoing issue, in relationship notably to the new solvency requirements (see Ballotta, Esposito and Haberman ). Beyond the examples developed in the text, the ultimate goal is to make understand similarities between contingent claims pricing and actuarial loadings and explain heterogeneity of prices in the insurance market.
Number of Pages in PDF File: 31
Keywords: Participating Contracts, Safety Loading, Default Risk, Interest Rate Risk, Market Value, Fair Value Principle, Premium Principle, Equity Default Swap
JEL Classification: G13, G22Accepted Paper Series
Date posted: January 17, 2006 ; Last revised: December 27, 2010
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