Heterogeneous Premiums for Homogeneous Risks? Asset Liability Management under Default Probability and Price-Demand Functions

DOI10.1080/10920277.2018.1538805MaRDI QIDQ5382571zbMATH OpenOpenAlexWikidataFDO

Authors Florian Klein, Hato Schmeiser

Publication date 18 June 2019

Published in North American Actuarial Journal (Search for Journal in Brave)

Full work available at URL https://www.alexandria.unisg.ch/252132/1/Heterogeneous%20Premiums%20for%20Homogeneous%20Risks%20Asset%20Liability%20Management%20under%20Default%20Probability%20and%20Price%20Demand%20Functions%20%281%29.pdf

zbMATH Keywords

asset liability modelheterogeneous premiumsMargrabe-Fischer option-pricing formula

Mathematics Subject Classification ID

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Cites work

• Advances in prospect theory: cumulative representation of uncertainty
• Asset-liability management for long-term insurance business
• Budget-constrained optimal reinsurance design under coherent risk measures
• Empirical approach for optimal reinsurance design
• scientific article; zbMATH DE number 3135430 (Why is no real title available?)
• Minimum standards for investment performance: a new perspective on non-life insurer solvency
• Non-cooperative games
• Nonlinear price evolution
• Old-age provision: past, present, future
• Optimal risk classification with an application to substandard annuities
• Probabilistic insurance
• Prospect Theory: An Analysis of Decision under Risk
• Risk Attitudes and Decision Weights
• Risk, ambiguity and the Savage axioms
• Risk- and value-based management for non-life insurers under solvency constraints
• Value-oriented risk management of insurance companies. Translated from the German by Patrick D. F. Ion.

Cited in

(3)

• Optimal Pricing of a Heterogeneous Portfolio for a Given Risk Level
• Cyber insurance-linked securities
• Optimal pricing for a heterogeneous portfolio for a given risk factor and convex distance measure

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