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
Link To Document :
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