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.
Volume
32
Page
213-234
Number
2
Year
2002
Categories
CAPM/Asset Pricing
Insurance Risk
Publications
ASTIN Bulletin
