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2 results

  • Market Consistent Pricing of Insurance Products

  • Semyon Malamud, Eugene Trubowitz, Mario V. Wüthrich
  • Journal:
    ASTIN Bulletin: The Journal of the IAA / Volume 38 / Issue 2 / November 2008
    Published online by Cambridge University Press:
    17 April 2015, pp. 483-526
    Print publication:
    November 2008
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  • We present the first step in a program to develop a comprehensive, unified equilibrium theory of asset and liability pricing. We give a mathematical framework for pricing insurance products in a multiperiod financial market. This framework reflects classical economic principles (like utility maximization) and generates pricing algorithms for non-hedgeable insurance risks.

  • Monotone utility convergence

  • Part of
  • Stefan Ankirchner
  • Journal:
    Journal of Applied Probability / Volume 43 / Issue 3 / September 2006
    Published online by Cambridge University Press:
    14 July 2016, pp. 622-633
    Print publication:
    September 2006
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  • We show that the maximal expected utility satisfies a monotone continuity property with respect to increasing information. Let be a sequence of increasing filtrations converging to , and let un(x) and u∞(x) be the maximal expected utilities when investing in a financial market according to strategies adapted to and , respectively. We give sufficient conditions for the convergence un(x) → u∞(x) as n → ∞. We provide examples in which convergence does not hold. Then we consider the respective utility-based prices, πn and π∞, of contingent claims under (Gtn) and (Gt∞). We analyse to what extent πn → π∞ as n → ∞.