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Premium Calculation Implications of Reinsurance Without Arbitrage

Published online by Cambridge University Press:  29 August 2014

Gary G. Venter
Gary G. Venter*
Affiliation:
Workers' Compensation Reinsurance Bureau, Hoboken, New Jersey
*
Workers' Compensation Reinsurance Bureau, Two Hudson Place, Hoboken, NJ 07030, U.S.A.
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Abstract

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Constraints imposed on premium calculation principles are studied under one aspect of competitive market theory: the impossibility of systematic arbitrage. Principles based on second moments or utility theory are shown to lead to arbitrage possibilities, while some other principles do not.

Keywords

Premium calculationarbitrageutility theorycapital asset pricing model
Type
Articles
Information
ASTIN Bulletin: The Journal of the IAA , Volume 21 , Issue 2 , November 1991 , pp. 223 - 230
Copyright
Copyright © International Actuarial Association 1991

References

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