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Insurance premia consistent with the market

Listed author(s):
  • Castagnoli, Erio
  • Maccheroni, Fabio
  • Marinacci, Massimo

We consider insurance prices in presence of an incomplete and competitive market. We show that if the insurance price system is internal, sublinear, and consistent with the market, then insurance prices are the maxima of their expected payments with respect to a family of risk neutral probabilities. We also show that under a simple additional assumption it is possible to decompose the obtained price in net premium plus safety loading.

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File URL: http://www.sciencedirect.com/science/article/pii/S0167-6687(02)00155-5
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Article provided by Elsevier in its journal Insurance: Mathematics and Economics.

Volume (Year): 31 (2002)
Issue (Month): 2 (October)
Pages: 267-284

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Handle: RePEc:eee:insuma:v:31:y:2002:i:2:p:267-284
Contact details of provider: Web page: http://www.elsevier.com/locate/inca/505554

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  1. Haberman, Steven & Vigna, Elena, 2002. "Optimal investment strategies and risk measures in defined contribution pension schemes," Insurance: Mathematics and Economics, Elsevier, vol. 31(1), pages 35-69, August.
  2. Alain Chateauneuf & Fabio Maccheroni & Massimo Marinacci & Jean-Marc Tallon, 2005. "Monotone continuous multiple priors," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 26(4), pages 973-982, November.
  3. Montrucchio, Luigi & Privileggi, Fabio, 2001. "On Fragility of Bubbles in Equilibrium Asset Pricing Models of Lucas-Type," Journal of Economic Theory, Elsevier, vol. 101(1), pages 158-188, November.
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  6. Dubra, Juan & Maccheroni, Fabio & Ok, Efe A., 2004. "Expected utility theory without the completeness axiom," Journal of Economic Theory, Elsevier, vol. 115(1), pages 118-133, March.
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  9. Marinacci, Massimo & Montrucchio, Luigi, 2004. "A characterization of the core of convex games through Gateaux derivatives," Journal of Economic Theory, Elsevier, vol. 116(2), pages 229-248, June.
  10. Fabio Maccheroni & William H. Ruckle, 2001. "BV as a dual space," ICER Working Papers - Applied Mathematics Series 29-2001, ICER - International Centre for Economic Research.
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  13. Paolo Ghirardato & Fabio Maccheroni & Massimo Marinacci & Marciano Siniscalchi, 2003. "A Subjective Spin on Roulette Wheels," Econometrica, Econometric Society, vol. 71(6), pages 1897-1908, November.
  14. Castagnoli, Erio & Maccheroni, Fabio & Marinacci, Massimo, 2002. "Insurance premia consistent with the market," Insurance: Mathematics and Economics, Elsevier, vol. 31(2), pages 267-284, October.
  15. Umberto Cherubini & Elisa Luciano, 2002. "Multivariate Option Pricing with Copulas," ICER Working Papers - Applied Mathematics Series 05-2002, ICER - International Centre for Economic Research.
  16. Fabio Maccheroni, 2004. "Yaari's dual theory without the completeness axiom," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 23(3), pages 701-714, March.
  17. Marciano Siniscalchi, "undated". "Vector-Adjusted Expected Utility," Working Papers 191, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
  18. Enrico Diecidue & Fabio Maccheroni, 2002. "Coherence without Additivity," ICER Working Papers - Applied Mathematics Series 10-2002, ICER - International Centre for Economic Research.
  19. Domenico Menicucci, 2003. "Optimal two-object auctions with synergies," Review of Economic Design, Springer;Society for Economic Design, vol. 8(2), pages 143-164, October.
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  22. Fabio Maccheroni & Fabio Maccheroni & Massimo Marinacci & Massimo Marinacci, 2003. "How to cut a pizza fairly: Fair division with decreasing marginal evaluations," Social Choice and Welfare, Springer;The Society for Social Choice and Welfare, vol. 20(3), pages 457-465, 06.
  23. Paolo Ghirardato & Fabio Maccheroni & Massimo Marinacci, 2002. "Ambiguity from the Differential Viewpoint," ICER Working Papers - Applied Mathematics Series 17-2002, ICER - International Centre for Economic Research.
  24. 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.
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