Abstract
With the aid of Taylor-based approximations, this paper presents results for pricing insurance contracts by using indifference pricing under general utility functions. We discuss the connection between the resulting "theoretical" indifference prices and the pricing rule-of-thumb that practitioners use: Best Estimate plus a "Market Value Margin". Furthermore, we compare our approximations to known analytical results for exponential and power utility.
| Original language | English |
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| Number of pages | 27 |
| Publication status | Published - 2008 |
| Event | 7th Winter School on Mathematical Finance 2008: Lévy Models - Life Insurance and Pensions - CongresHotel De Werelt , Lunteren, Netherlands Duration: 21 Jan 2008 → 23 Jan 2008 Conference number: 7 https://staff.fnwi.uva.nl/p.j.c.spreij/winterschool/7winterschool.html |
Other
| Other | 7th Winter School on Mathematical Finance 2008 |
|---|---|
| Country/Territory | Netherlands |
| City | Lunteren |
| Period | 21/01/08 → 23/01/08 |
| Internet address |
Keywords
- General utility
- Indifference pricing
- Nontradable insurance risk
- Taylor approximation