Quasi Risk-Neutral Pricing in Insurance

DOI10.2143/AST.39.1.2038067zbMath1205.91090MaRDI QIDQ3067096

Harry Niederau, Peter Zweifel

Publication date: 20 January 2011

Published in: ASTIN Bulletin (Search for Journal in Brave)

zbMATH Keywords

incomplete marketsLorenz orderrisk aversionrisk managementrisk neutralityinsurance pricesproperty risksquasi risk-neutral pricingrisk adjusted capital (RAC)

Mathematics Subject Classification ID

Cites Work

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• Non-additive measure and integral
• Insurance pricing and increased limits ratemaking by proportional hazards transforms
• Coherent Measures of Risk
• On Stop-Loss Order and the Distortion Pricing Principle
• Risk Measures and Comonotonicity: A Review

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