Insurance premia consistent with the market

被引：15
|
作者：
Castagnoli, E
Maccheroni, F
Marinacci, M
机构：
[1] Univ Bocconi, Ist Metodi Quantitat, I-20135 Milan, Italy
[2] Univ Turin, Dipartimento Stat & Matemat Applicata, I-10122 Turin, Italy
[3] ICER, Turin, Italy
来源：
INSURANCE MATHEMATICS & ECONOMICS | 2002年 / 31卷 / 02期
关键词：
insurance premia; market; neutral probabilities;
D O I：
10.1016/S0167-6687(02)00155-5
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
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. (C) 2002 Elsevier Science B.V. All rights reserved.
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页码：267 / 284
页数：18
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