Actuarial versus Financial Pricing of Insurance

By Paul Embrechts. 2000

146 citations recorded by the source corpus.

Subfields: Demography, Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/a7b798756726c0187f77bf1799120272706221a2

How researchers see this paper

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In Demography

1. Robert J. R. Elliott
2. Tak Kuen Siu
3. Roger J. A. Laeven
4. Marek Kaluszka
5. William T. Ziemba
6. Leunglung Chan
7. Marc J. Goovaerts
8. Guang-Hua Lian

In Economics and Econometrics

1. Tak Kuen Siu
2. Leunglung Chan
3. John W. Lau
4. Roger J. A. Laeven
5. Robert J. R. Elliott
6. Marek Kaluszka
7. William T. Ziemba
8. Marc J. Goovaerts

In Finance

1. Robert J. R. Elliott
2. Tak Kuen Siu
3. Leunglung Chan
4. Roger J. A. Laeven
5. John W. Lau
6. Marek Kaluszka
7. William T. Ziemba
8. Marc J. Goovaerts

Citations in the corpus

• Pricing Options Under a Generalized Markov-Modulated Jump-Diffusion Model (2007, background): “Bühlmann, H., Delbaen, F., Embrechts, P., and Shiryaev, A.N. 1996.”
• Optimal reinsurance under mean-variance premium principles (2001, background): “Remark 4. An interesting problem seems to be the analysis of optimal reinsurance under alternative premium calculation rules like the exponential principle, the Esscher principle or the risk-adjusted principle (see Embrechts, 1996; Embrechts et al., 1997; Gerber, 1980; Rolski et al., 1998; Young, ”
• Longevity Bond Premiums: The Extreme Value Approach and Risk Cubic Pricing (2010, unknown): “Embrechts (2000) provides an overview and comparison of these approaches.”
• Option pricing and Esscher transform under regime switching (2005, background): “This is an important issue in actuarial science and finance as pointed out by B¨ uhlmann et al. [6], and Embrechts [ 17 ].”
• The Stochastic Programming Approach to Asset, Liability, and Wealth Management (2003, methodology): “The damage from earthquakes in California in the years from 1970 to 1993, according to Embrechts, Resnick and Samovodmitsky (1998) are EXTREME SCENARIO EXAMPLES 25”
• Actuarial Risk Measures for Financial Derivative Pricing (2008, methodology): “Girsanov is attached to the probability measure transform defined above to emphasize the close resemblance between the Radon-Nikodym derivative used in (9) and the Radon-Nikodym derivative used in Girsanov’s Theorem; see e.”