Actuarial versus Financial Pricing of Insurance
This paper grew out of various recent discussions with academics and practitioners around the theme of the interplay between insurance and finance. Some issues were: The increasing collaboration between insurance companies and banks The emergence of finance related insurance products, as there are catastrophy futures and options, PCS options, indexed linked policies... The deregulation of various (national) insurance markets The discussion around risk management methodology for financial institutions The evolution from a more liability modelling oriented industry (insurance) to a more global financial industry involving asset-liability and risk-capital based modelling The emergence of financial engineering as a new profession, its interplay with actuarial training and research. Rather than aiming at giving a complete overview of the issue at hand, the author concentrates on some recent (and not so recent) developments which from a methodological point of view offer new insight into the comparison of pricing mechanisms between insurance and finance. The author views this paper very much as work in progress. This paper was presented at the Financial Institutions Center's May 1996 conference on "
|Date of creation:||May 1996|
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- Varian, Hal R, 1987. "The Arbitrage Principle in Financial Economics," Journal of Economic Perspectives, American Economic Association, vol. 1(2), pages 55-72, Fall.
- Harrison, J. Michael & Kreps, David M., 1979. "Martingales and arbitrage in multiperiod securities markets," Journal of Economic Theory, Elsevier, vol. 20(3), pages 381-408, June.
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- M.J.B. Hall, 1996. "The amendment to the capital accord to incorporate market risk," Banca Nazionale del Lavoro Quarterly Review, Banca Nazionale del Lavoro, vol. 49(197), pages 271-277.
- Knut Aase, 1999. "An Equilibrium Model of Catastrophe Insurance Futures and Spreads," The Geneva Risk and Insurance Review, Palgrave Macmillan, vol. 24(1), pages 69-96, June.
- Delbaen, F. & Haezendonck, J., 1989. "A martingale approach to premium calculation principles in an arbitrage free market," Insurance: Mathematics and Economics, Elsevier, vol. 8(4), pages 269-277, December.
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