Premium Calculation Without Arbitrage? A note on a contribution by G. Venter
Open Access
- 1 November 1992
- journal article
- Published by Cambridge University Press (CUP) in ASTIN Bulletin
- Vol. 22 (2) , 247-254
- https://doi.org/10.2143/AST.22.2.2005119
Abstract
Stimulated by a recent contribution by G. Venter in this journal the adequate-ness of (re-)insurance premium calculation based on the hypothesis of arbitrage free (re-)insurance markets is questioned. It is argued that—in contrast to the theory of financial markets—it is not reasonable to demand that insurance markets are arbitrage free. In addition the adjusted distribution principles put forward by Venter are claimed to be invalid.Keywords
This publication has 14 references indexed in Scilit:
- The valuation of options for alternative stochastic processesPublished by Elsevier ,2002
- Reinsurance in arbitrage-free marketsInsurance: Mathematics and Economics, 1991
- A martingale approach to premium calculation principles in an arbitrage free marketInsurance: Mathematics and Economics, 1989
- Theory of Financial Decision Making.The Journal of Finance, 1988
- The Arbitrage Principle in Financial EconomicsJournal of Economic Perspectives, 1987
- Insurance PremiumsJournal of Risk and Insurance, 1987
- Additive Insurance Premiums: A NoteThe Journal of Finance, 1982
- The Determination of Fair Profits for the Property‐Liability Insurance FirmThe Journal of Finance, 1982
- Martingales and stochastic integrals in the theory of continuous tradingStochastic Processes and their Applications, 1981
- Martingales and arbitrage in multiperiod securities marketsJournal of Economic Theory, 1979