Market Consistent Pricing of Insurance Products
Ecole Polytechnique Federale de Lausanne; Swiss Finance Institute
Swiss Federal Institute of Technology Zurich
Mario V. Wuthrich
ETH Zurich, RiskLab, Department of Mathematics; Swiss Finance Institute; Cass Business School; Department of Statistical Science
March 13, 2007
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.
Number of Pages in PDF File: 32
Keywords: insurance, hedging, incomplete markets, utility indifference, market consistent
JEL Classification: C00, C61, C63, D52, D81, G11, G12, G13working papers series
Date posted: March 15, 2007
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