Premium Calculation Implications of Reinsurance Without Arbitrage
- 1 November 1991
- journal article
- Published by Cambridge University Press (CUP) in ASTIN Bulletin
- Vol. 21 (2) , 223-230
- https://doi.org/10.2143/AST.21.2.2005365
Abstract
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
This publication has 4 references indexed in Scilit:
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- Martingales and arbitrage in multiperiod securities marketsJournal of Economic Theory, 1979
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