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A Universal Framework for Pricing Financial and Insurance Risks

Published online by Cambridge University Press:  29 August 2014

Shaun S. Wang
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Abstract

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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.

Type
Articles
Information
ASTIN Bulletin: The Journal of the IAA , Volume 32 , Issue 2 , November 2002 , pp. 213 - 234
Copyright
Copyright © International Actuarial Association 2002

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