Title of article
Insurance premia consistent with the market
Author/Authors
Castagnoli، نويسنده , , Erio and Maccheroni، نويسنده , , Fabio and Marinacci، نويسنده , , Massimo، نويسنده ,
Issue Information
روزنامه با شماره پیاپی سال 2002
Pages
18
From page
267
To page
284
Abstract
We consider insurance prices in presence of an incomplete and competitive market. We show that if the insurance price system is internal, sublinear, and consistent with the market, then insurance prices are the maxima of their expected payments with respect to a family of risk neutral probabilities. We also show that under a simple additional assumption, it is possible to decompose the obtained price in net premium plus safety loading.
Keywords
Neutral probabilities , Insurance premia , Market
Journal title
Insurance Mathematics and Economics
Serial Year
2002
Journal title
Insurance Mathematics and Economics
Record number
1542535
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