NDLI: A Discrete Time Benchmark Approach for Insurance and Finance

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A Discrete Time Benchmark Approach for Insurance and Finance

Content Provider	Scilit
Author	Bühlmann, Hans Platen, Eckhard
Copyright Year	2003
Description	This paper proposes a consistent approach to discrete time valuation in insurance and finance. This approach uses the growth optimal portfolio as reference unit or benchmark. When used as benchmark, it is shown that all benchmarked price processes are supermartingales. Benchmarked fair price processes are characterized as martingales. No measure transformation is needed for the fair pricing of insurance policies and derivatives. The standard actuarial pricing rule is obtained as a particular case of fair pricing when the contingent claim is independent from the growth optimal portfolio.1991 Mathematics Subject Classification: primary 90A12 secondary 60G30, 62P20JEL Classification: G10, G13
Related Links	https://www.cambridge.org/core/services/aop-cambridge-core/content/view/8E778D4A54ACB18587B39AE7FA73D024/S0515036100013416a.pdf/div-class-title-a-discrete-time-benchmark-approach-for-insurance-and-finance-div.pdf
Ending Page	172
Page Count	20
Starting Page	153
ISSN	05150361
e-ISSN	17831350
DOI	10.1017/s0515036100013416
Journal	ASTIN Bulletin
Issue Number	2
Volume Number	33
Language	English
Publisher	Cambridge University Press (CUP)
Publisher Date	2003-11-01
Access Restriction	Open
Subject Keyword	ASTIN Bulletin Financial and Insurance Market Model Benchmark Approach Growth Optimal Portfolio Numeraire Portfolio Fair Pricing Actuarial Pricing Unit Linked Insurance
Content Type	Text
Resource Type	Article
Subject	Finance Accounting Economics and Econometrics

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