Centro de Documentacion de Fundación MAPFRE - On the Premium of equity-linked insurance contracts

Notas: Sumario: We will deal with the valuation of equity-linked insurance contracts such as unit links. We will introduce a premium principle based on the optimization of expectation bounded and coherent measures of risk. The premium principle seems to present some interesting properties. Indeed, firstly, it is sub-additive and favors diversification. Secondly, it integrates both actuarial and financial risks, and does not have to impose independence between them. Thirdly, it provides the insurer with hedging strategies. Finally, it is very easy to use in practice since one only has to solve linear programming problems, despite the fact that risk measures are not linear at all Registros relacionados: En: Anales del Instituto de Actuarios Españoles : Colegio Profesional. - Madrid : Instituto de Actuarios Españoles, 1943-. - 21/12/2010 Número 16 Epoca 3ª Época - 2010 , p. 25-42Materia / lugar / evento: Contrato de seguro Cálculo de la prima Mercados financieros Índices bursátiles Valoración de riesgos Riesgo financiero Coberturas Matemática del seguro Otros autores: Balbás Aparicio, Raquel
Otras clasificaciones: 6

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