A Universal Framework for Pricing Financial and Insurance Risks
نویسندگان
چکیده
منابع مشابه
A Universal Framework for Pricing Financial and Insurance Risks
This paper presents a universal framework for pricing financial and insurance risks. Examples are given for pricing contingent payoffs, where the underlying asset or liability can be either traded or not traded. The paper also outlines an application of the framework to prescribe capital allocations within insurance companies, and to determine fair values of insurance liabilities. 1 SCOR Reinsu...
متن کاملA Universal Framework For Pricing Financial And Insurance Risks - Proceedings AFIR 2001 - Toronto, Canada
This paper presents a universal framework for pricing financial and insurance risks. Examples are given for pricing contingent payoffs, where the underlying asset or loss can be either traded or not traded. The paper also outlines an application of the framework to prescribe capital allocations within insurance companies, and to determine fair value for insurance liabilities.
متن کاملA Universal Framework For Pricing Financial And Insurance Risks - Proceedings ASTIN 2001 - Washington, United States of America
This paper presents a universal framework for pricing financial and insurance risks. Examples are given for pricing contingent payoffs, where the underlying asset or liability can be either traded or not traded. The paper also outlines an application of the framework to prescribe capital allocations within insurance companies, and to determine fair value for insurance liabilities.
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با توجه به اینکه بیمه محصولات کشاورزی در ایران بیشتر جنبه ای حمایتی دارد و خسارات گزارش شده عموما بیش از حق بیمه های دریافت شده است، در این پایان نامه به جهت تعیین قیمت بیمه محصولات کشاورزی (گندم دیم) از فرآیندهای نوفه شلیک به عنوان مدلی مناسب استفاده شده است. بر اساس داده های صندوق بیمه کشاورزی از خسارات اعلام شده در سال زراعی 1388-1389 گندم دیم، در این پایان نامه حق بیمه خالص و ناخالص این محص...
A Class of Distortion Operators for Pricing Financial and Insurance Risks
This article introduces a class of distortion operators, gα (u) = Φ Φ [ ( ) ] − + 1 u α , where Φ is the standard normal cumulative distribution. For any loss (or asset) variable X with a probability distribution SX(x) = 1– FX(x), gα [SX(x)] defines a distorted probability distribution whose mean value yields a risk-adjusted premium (or an asset price). The distortion operator gα can be applied...
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ژورنال
عنوان ژورنال: ASTIN Bulletin
سال: 2002
ISSN: 0515-0361,1783-1350
DOI: 10.2143/ast.32.2.1027