Reinsurance in arbitrage-free markets

DOI10.1016/0167-6687(91)90049-4zbMath0739.62078OpenAlexW2084555663MaRDI QIDQ1182782

Dieter Sondermann

Publication date: 28 June 1992

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0167-6687(91)90049-4

zbMATH Keywords

stochastic processescompound Poissoninterest ratesarbitrage-free marketsmartingale theoryclaimspremium calculationstop losscontinuous Lundberg modeldynamic reinsurance policiesexcess lossPareto-optimal allocations of total riskproportional risk sharing

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05)

Related Items (17)

Present value of some insurance portfolios ⋮ Arbitrage-free premium calculation for extreme losses using the shot noise process and the Esscher transform ⋮ PRICING OF UNEMPLOYMENT INSURANCE PRODUCTS WITH DOUBLY STOCHASTIC MARKOV CHAINS ⋮ A law of large numbers approach to valuation in life insurance ⋮ Actuarial bridges to dynamic hedging and option pricing ⋮ Sensitivity Analysis of Catastrophe Bond Price Under the Hull–White Interest Rate Model ⋮ Risk measures and insurance premium principles. ⋮ Rational hedging and valuation of integrated risks under constant absolute risk aversion. ⋮ Option hedging for semimartingales ⋮ Dynamic asset pricing theory with uncertain time-horizon ⋮ Pricing of Reinsurance Contracts in the Presence of Catastrophe Bonds ⋮ Evaluating Hybrid Products: The Interplay Between Financial and Insurance Markets ⋮ Pricing catastrophe insurance products based on actually reported claims ⋮ A no arbitrage approach to Thiele's differential equation ⋮ A martingale approach to premium calculation principles in an arbitrage free market ⋮ A general class of distortion operators for pricing contingent claims with applications to CAT bonds ⋮ Ordering of risks under PH-transforms

Cites Work

• A martingale approach to premium calculation principles in an arbitrage free market
• Risk theory and serendipity
• Arbitrage pricing of contingent claims
• Martingales and arbitrage in multiperiod securities markets
• Semimartingales: A course on stochastic processes
• Individual and collective risks in large economies
• Economic Equilibrium Under Uncertainty
• Markets for an Exchange Economy with Individual Risks
• Equilibrium in a Reinsurance Market
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