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Premium Calculation Implications of Reinsurance Without Arbitrage

Author

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  • Venter, Gary G.

Abstract

Constraints imposed on premium calculation principles are studied under one aspect of competitive market theory: the impossibility of systematic arbitrage. Principles based on second moments or utility theory are shown to lead to arbitrage possibilities, while some other principles do not.

Suggested Citation

  • Venter, Gary G., 1991. "Premium Calculation Implications of Reinsurance Without Arbitrage," ASTIN Bulletin, Cambridge University Press, vol. 21(2), pages 223-230, November.
    • Handle: RePEc:cup:astinb:v:21:y:1991:i:02:p:223-230_00
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    Citations

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    Cited by:

    1. Shah, Anand, 2016. "Pricing and Risk Mitigation Analysis of a Cyber Liability Insurance using Gaussian, t and Gumbel Copulas – A case for Cyber Risk Index," MPRA Paper 111968, University Library of Munich, Germany.
    2. John A. Major, 2019. "Methodological Considerations in the Statistical Modeling of Catastrophe Bond Prices," Risk Management and Insurance Review, American Risk and Insurance Association, vol. 22(1), pages 39-56, March.
    3. Sordo, Miguel A. & Castaño-Martínez, Antonia & Pigueiras, Gema, 2016. "A family of premium principles based on mixtures of TVaRs," Insurance: Mathematics and Economics, Elsevier, vol. 70(C), pages 397-405.
    4. Mierzejewski, Fernando, 2008. "The Allocation of Economic Capital in Opaque Financial Conglomerates," MPRA Paper 9432, University Library of Munich, Germany.
    5. Asimit, Vali & Boonen, Tim J., 2018. "Insurance with multiple insurers: A game-theoretic approach," European Journal of Operational Research, Elsevier, vol. 267(2), pages 778-790.
    6. Wang, S., 1994. "Premium Calculation by Transforming the Layer Premium Density," Working Papers 030, Risk and Insurance Archive.
    7. Choo, Weihao & de Jong, Piet, 2009. "Loss reserving using loss aversion functions," Insurance: Mathematics and Economics, Elsevier, vol. 45(2), pages 271-277, October.
    8. Alejandro Balbás & José Garrido & Silvia Mayoral, 2009. "Properties of Distortion Risk Measures," Methodology and Computing in Applied Probability, Springer, vol. 11(3), pages 385-399, September.
    9. Young, Virginia R., 1998. "Families of update rules for non-additive measures: Applications in pricing risks," Insurance: Mathematics and Economics, Elsevier, vol. 23(1), pages 1-14, October.
    10. Gerchak, Yigal & Wang, Shaun, 1997. "Liquid asset allocation using "newsvendor" models with convex shortage costs," Insurance: Mathematics and Economics, Elsevier, vol. 20(1), pages 17-21, June.
    11. Wang, Shaun, 1996. "Ordering of risks under PH-transforms," Insurance: Mathematics and Economics, Elsevier, vol. 18(2), pages 109-114, July.
    12. Wang, Shaun S. & Young, Virginia R. & Panjer, Harry H., 1997. "Axiomatic characterization of insurance prices," Insurance: Mathematics and Economics, Elsevier, vol. 21(2), pages 173-183, November.
    13. John A. Major & Stephen J. Mildenhall, 2020. "Pricing and Capital Allocation for Multiline Insurance Firms With Finite Assets in an Imperfect Market," Papers 2008.12427, arXiv.org.
    14. Chi, Yichun & Tan, Ken Seng, 2013. "Optimal reinsurance with general premium principles," Insurance: Mathematics and Economics, Elsevier, vol. 52(2), pages 180-189.
    15. Mierzejewski, Fernando, 2008. "The optimal liquidity principle with restricted borrowing," MPRA Paper 12549, University Library of Munich, Germany.
    16. Mine Cinar & Colton Burns & Nathalie Hilmi & Alain Safa, 2020. "Risk Assessments of Impacts of Climate Changeand Tourism: Lessons for the Mediterranean and Middle East and North African Countries," International Journal of Environmental Sciences & Natural Resources, Juniper Publishers Inc., vol. 24(5), pages 176-187, June.
    17. Mierzejewski, Fernando, 2007. "The Short-Run Monetary Equilibrium with Liquidity Constraints," MPRA Paper 6526, University Library of Munich, Germany.
    18. Krvavych, Yuriy & Sherris, Michael, 2006. "Enhancing insurer value through reinsurance optimization," Insurance: Mathematics and Economics, Elsevier, vol. 38(3), pages 495-517, June.
    19. Kaluszka, Marek, 2005. "Optimal reinsurance under convex principles of premium calculation," Insurance: Mathematics and Economics, Elsevier, vol. 36(3), pages 375-398, June.
    20. Fabio Bellini & Pablo Koch-Medina & Cosimo Munari & Gregor Svindland, 2018. "Law-invariant functionals on general spaces of random variables," Papers 1808.00821, arXiv.org, revised Jan 2021.
    21. Marta Cardin & Paola Ferretti, 2001. "On the use of capacities in representing premium calculation principles," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 24(1), pages 71-77, May.
    22. Shaun, Wang, 1995. "Insurance pricing and increased limits ratemaking by proportional hazards transforms," Insurance: Mathematics and Economics, Elsevier, vol. 17(1), pages 43-54, August.
    23. Fernando MIERZEJEWSKI & Katholieke Universiteit, 2009. "Towards A General Theory Of Liquidity Preference," Journal of Applied Economic Sciences, Spiru Haret University, Faculty of Financial Management and Accounting Craiova, vol. 4(2(8)_ Sum).
    24. Zhu, Yunzhou & Chi, Yichun & Weng, Chengguo, 2014. "Multivariate reinsurance designs for minimizing an insurer’s capital requirement," Insurance: Mathematics and Economics, Elsevier, vol. 59(C), pages 144-155.

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