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Author:
Stavros Christofides
Source:
General Insurance Convention & ASTIN Colloquium 1998

Pricing for risk in financial transactions

This paper considers the pricing of uncertain cash flows, which includes those arising in insurance and reinsurance, using the proportional hazards (p-h) transform pricing basis defined by Wang (1995). This basis satisfies all the desirable properties of a ... read more >>

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Author:
Niklaus Buhlmann; Vincenzo Bochicchio; Stephane Junod
Source:
General Insurance Convention & ASTIN Colloquium 1998

Extreme value techniques. Part IV - fin re pricing

We present a state-of-the-art rating methodology for financial reinsurance contracts that is based upon a consistent stochastic model (of the jump diffusion type) for financial market variables (like, eg, interest rates, foreign currencies, stocks, stock ... read more >>

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Author:
Rene Schnieper
Source:
General Insurance Convention and ASTIN Colloquium 1998

Portfolio optimisation

Based on the profit and loss account of an insurance company we derive a probabilistic model for the financial result of the company, thereby both assets and liabilities are marked to market. We thus focus on the economic value of the company. PORTFOLIO ... read more >>

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Author:
Miguel A Usabel
Source:
General Insurance Convention & ASTIN Colloquium 1998

Pricing the risk of a general insurance portfolio using series expansions for the finite time multivariate ruin probability in a financial-actuarial risk process

The risk involved in a General Insurance portfolio can be priced using the related concepts Multivariate Ruin Probability-Annual Premium. In the present work, McLaurin expansion, with respect the arrival intensity of claims, for the finite time ... read more >>