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A martingale approach to premium calculation principles in an arbitrage free market

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  • Delbaen, F.
  • Haezendonck, J.

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  • 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.
    • Handle: RePEc:eee:insuma:v:8:y:1989:i:4:p:269-277
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    Citations

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    Cited by:

    1. Alexander Muermann, 2002. "Pricing Catastrophe Insurance Derivatives," FMG Discussion Papers dp400, Financial Markets Group.
    2. Møller, T., 2002. "On Valuation and Risk Management at the Interface of Insurance and Finance," British Actuarial Journal, Cambridge University Press, vol. 8(4), pages 787-827, October.
    3. Steffensen, Mogens, 2000. "A no arbitrage approach to Thiele's differential equation," Insurance: Mathematics and Economics, Elsevier, vol. 27(2), pages 201-214, October.
    4. 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.
    5. Frédéric Godin & Van Son Lai & Denis-Alexandre Trottier, 2019. "A general class of distortion operators for pricing contingent claims with applications to CAT bonds," Scandinavian Actuarial Journal, Taylor & Francis Journals, vol. 2019(7), pages 558-584, August.
    6. Becherer, Dirk, 2003. "Rational hedging and valuation of integrated risks under constant absolute risk aversion," Insurance: Mathematics and Economics, Elsevier, vol. 33(1), pages 1-28, August.
    7. Blanchet-Scalliet, Christophette & El Karoui, Nicole & Martellini, Lionel, 2005. "Dynamic asset pricing theory with uncertain time-horizon," Journal of Economic Dynamics and Control, Elsevier, vol. 29(10), pages 1737-1764, October.
    8. Burnecki, Krzysztof & Giuricich, Mario Nicoló & Palmowski, Zbigniew, 2019. "Valuation of contingent convertible catastrophe bonds — The case for equity conversion," Insurance: Mathematics and Economics, Elsevier, vol. 88(C), pages 238-254.
    9. Wang, Shaun, 1996. "Ordering of risks under PH-transforms," Insurance: Mathematics and Economics, Elsevier, vol. 18(2), pages 109-114, July.
    10. Fischer, Tom, 2007. "A law of large numbers approach to valuation in life insurance," Insurance: Mathematics and Economics, Elsevier, vol. 40(1), pages 35-57, January.
    11. Andreas Tsanakas & Evangelia Desli, 2005. "Measurement and Pricing of Risk in Insurance Markets," Risk Analysis, John Wiley & Sons, vol. 25(6), pages 1653-1668, December.
    12. Paul Embrechts, 1996. "Actuarial versus Financial Pricing of Insurance," Center for Financial Institutions Working Papers 96-17, Wharton School Center for Financial Institutions, University of Pennsylvania.
    13. Muermann, Alexander, 2002. "Pricing catastrophe insurance derivatives," LSE Research Online Documents on Economics 24904, London School of Economics and Political Science, LSE Library.
    14. Stephen J. Mildenhall, 2017. "Actuarial Geometry," Risks, MDPI, vol. 5(2), pages 1-44, June.
    15. Spyridon M. Tzaninis & Nikolaos D. Macheras, 2020. "A characterization of progressively equivalent probability measures preserving the structure of a compound mixed renewal process," Papers 2007.05289, arXiv.org, revised Jul 2020.
    16. Francesca Biagini & Jan Widenmann, 2012. "Pricing Of Unemployment Insurance Products With Doubly Stochastic Markov Chains," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 15(04), pages 1-32.
    17. Iwaki, Hideki & Kijima, Masaaki & Morimoto, Yuji, 2001. "An economic premium principle in a multiperiod economy," Insurance: Mathematics and Economics, Elsevier, vol. 28(3), pages 325-339, June.

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