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Premium Calculation Without Arbitrage? A note on a contribution by G. Venter

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  • Albrecht, Peter

Abstract

Stimulated by a recent contribution by G. Venter in this journal the adequate-ness of (re-)insurance premium calculation based on the hypothesis of arbitrage free (re-)insurance markets is questioned. It is argued that—in contrast to the theory of financial markets—it is not reasonable to demand that insurance markets are arbitrage free. In addition the adjusted distribution principles put forward by Venter are claimed to be invalid.

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  • Albrecht, Peter, 1992. "Premium Calculation Without Arbitrage? A note on a contribution by G. Venter," ASTIN Bulletin, Cambridge University Press, vol. 22(2), pages 247-254, November.
    • Handle: RePEc:cup:astinb:v:22:y:1992:i:02:p:247-254_00
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    Cited by:

    1. Wang, S., 1994. "Premium Calculation by Transforming the Layer Premium Density," Working Papers 030, Risk and Insurance Archive.
    2. Roger Gay, 2004. "Adaptive Premiums for Evolutionary Claims in Non-Life Insurance," Monash Econometrics and Business Statistics Working Papers 25/04, Monash University, Department of Econometrics and Business Statistics.

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