An Actuarial Premium Pricing Model for Nonnormal Insurance and Financial Risks in Incomplete Markets

被引：5

作者：

Landsman, Zinoviy ^{[1
]}

Sherris, Michael ^{[2
]}

机构：

[1] Univ Haifa, Actuarial Res Ctr, Dept Stat, Haifa, Israel

[2] Univ New South Wales, Fac Commerce & Econ, Sch Actuarial Studies, Actuarial Studies, Sydney, NSW, Australia

来源：

NORTH AMERICAN ACTUARIAL JOURNAL | 2007年 / 11卷 / 01期

基金：

澳大利亚研究理事会;

关键词：

D O I：

10.1080/10920277.2007.10597440

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

A model for pricing insurance and financial risks, based on recent developments in actuarial premium principles with elliptical distributions, is developed for application to incomplete markets and heavy-tailed distributions. The pricing model involves an application of a generalized variance premium principle from insurance pricing to the pricing of a portfolio of nontraded risks relative to a portfolio of traded risks. This pricing model for a portfolio of insurance or financial risks reflects preferences for features of the distributions other than mean and variance, including kurtosis. The model reduces to the Capital Asset Pricing Model for multinormal portfolios and to a form of the CAPM in the case where the traded and nontraded risks have the same elliptical distribution.

引用

页码：119 / 135

页数：17

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