An Actuarial Premium Pricing Model for Nonnormal Insurance and Financial Risks in Incomplete Markets

DOI10.1080/10920277.2007.10597440zbMath1480.91218OpenAlexW2057411517MaRDI QIDQ5019715

Michael Sherris, Zinoviy Landsman

Publication date: 10 January 2022

Published in: North American Actuarial Journal (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/10920277.2007.10597440

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Actuarial mathematics (91G05)

Related Items (2)

Weighted risk capital allocations ⋮ Weighted Pricing Functionals With Applications to Insurance

Cites Work

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• Necessary conditions for the CAPM
• Wang's capital allocation formula for elliptically contoured distributions.
• Incomplete markets over an infinite horizon: Long-lived securities and speculative bubbles
• On the generalization of Esscher and variance premiums modified for the elliptical family of distributions
• Equilibrium Pricing Transforms: New Results Using Buhlmann’s 1980 Economic Model
• Tail Conditional Expectations for Elliptical Distributions

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