Evaluating Hybrid Products: The Interplay Between Financial and Insurance Markets

Biagini, Francesca (2013): Evaluating Hybrid Products: The Interplay Between Financial and Insurance Markets. Seminar on Stochastic Analysis, Random Fields and Applications, Ascona, Schweiz, Mai 2011. Dalang, Robert C.; Dozzi, Marco and Russo, Francesco (eds.) : In: Seminar on Stochastic Analysis, Random Fields and Applications VII, Basel: Birkhäuser. pp. 285-304

Abstract

A current issue in the theory and practice of insurance and reinsurance markets is to find alternative ways of securitizing risks. Insurance companies have the possibility of investing in financial markets and therefore hedge against their risks with financial instruments. Furthermore they can sell part of their insurance risk by introducing insurance linked products on financial markets. Hence insurance and financial markets may no longer be considered as disjoint objects, but can be viewed as one arbitrage-free market. Here we provide an introduction to how mathematical methods for pricing and hedging financial claims such as the benchmark approach and local risk minimization can be applied to the valuation of hybrid financial insurance products, as well as to premium determination, risk mitigation and claim reserve management.

• Item Type: Conference or Workshop Item (Paper)
• Faculties: Mathematics, Computer Science and Statistics > Mathematics > Workgroup Financial Mathematics
• Subjects: 500 Science > 510 Mathematics
• ISSN: 1050-6977
• Place of Publication: Basel
• Language: English