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

Published online by Cambridge University Press:  29 August 2014

Peter Albrecht
Peter Albrecht*
Affiliation:
Institute for Insurance Sciences, University of Mannheim
*
Institute for Insurance Sciences, University of Mannheim, D-6800 Mannheim, Schloß.
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Abstract

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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.

Keywords

Premium calculationno-arbitrage conditionfinancial insurance pricing
Type
Discussion Papers
Information
ASTIN Bulletin: The Journal of the IAA , Volume 22 , Issue 2 , November 1992 , pp. 247 - 254
Copyright
Copyright © International Actuarial Association 1992

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