ORCID: https://orcid.org/0000-0001-9801-5259 and Zhang, Yinglin
(2022):
Extended reduced-form framework for non-life insurance.
In: Advances in Applied Probability, Vol. 54, No. 3: pp. 945-973
Abstract
In this paper we propose a general framework for modeling an insurance liability cash flow in continuous time, by generalizing the reduced-form framework for credit risk and life insurance. In particular, we assume a nontrivial dependence structure between the reference filtration and the insurance internal filtration. We apply these results for pricing and hedging non-life insurance liabilities in hybrid financial and insurance markets, while taking into account the role of inflation under the benchmarked risk-minimization approach. This framework offers at the same time a general and flexible structure, and an explicit and treatable pricing-hedging formula.
Item Type: | Journal article |
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Faculties: | Mathematics, Computer Science and Statistics > Mathematics > Workgroup Financial Mathematics |
Subjects: | 500 Science > 510 Mathematics |
ISSN: | 0001-8678 |
Language: | English |
Item ID: | 94845 |
Date Deposited: | 03. Mar 2023, 08:26 |
Last Modified: | 08. Aug 2024, 15:36 |