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 value for insurance liabilities.
Volume
Washington
Year
2001
Categories
Actuarial Applications and Methodologies
Capital Management
Capital Allocation
Actuarial Applications and Methodologies
Valuation
Fair Value
Financial and Statistical Methods
Risk Measures
Financial and Statistical Methods
Risk Pricing and Risk Evaluation Models
Publications
ASTIN Colloquium
Prizes
Hachemeister Prize
