Stabsseminar ved Thomas Møller

Thomas Møller fra Laboratory of Actuarial Mathematics ved universitetet i København holder stabsseminar ved Institutt for foretaksøkonomi på torsdag.

03.10.2000 - Afsoun Sabzian

Tema er Indifference Pricing and Integrated Risk Management

Tid og sted:
MILJØROMMET 6. etasje, torsdag 5. okotober kl.1215-1330

Abstract:
We investigate the financial transformations of the actuarial variance and standard deviation principles proposed by Schweizer (1997). These transformed principles can be obtained via indifference pricing arguments by identifying certain preference relations that are associated with the actuarial principles. Here, we determine optimal trading strategies for the financial variance and standard deviation principles and derive simple upper and lower bounds for the fair premiums. The principles are then applied for the valuation and hedging of insurance contracts which combine pure insurance risk and purely financial risk. The class of examples considered includes unit-linked life insurance contracts and so-called integrated risk-management contracts, i.e. contracts which involve elements of both traditional reinsurance and financial derivatives. Specific examples are double-triggered stop-loss contracts and financial stop-loss contracts. With the last mentioned the insurer's total losses have both an insurance and a financial component.