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A universal framework for pricing financial and insurance risks. (English) Zbl 1090.91555

Summary: This paper presents a universal framework for pricing financial and insurance risks. Examples are given for pricing contingent payoffs, where the underlying asset or liability can be either traded or not traded. The paper also outlines an application of the framework to prescribe capital allocations within insurance companies, and to determine fair values of insurance liabilities.

MSC:

91B30 Risk theory, insurance (MSC2010)
91B24 Microeconomic theory (price theory and economic markets)
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References:

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