Publication

Market Consistent Pricing of Insurance Products

Semyon Malamud
2008
Journal Articles

Abstract

We present the ﬁrst step in a program to develop a comprehen- sive, uniﬁed equilibrium theory of asset and liability pricing. We give a mathematical framework for pricing insurance products in a multiperiod ﬁnancial market. This framework reﬂects classical economic principles (like utility maximization) and generates pricing algorithms for non-hedgeable insurance risks.

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Market Consistent Pricing of Insurance Products

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