Extended Reduced-Form Framework for Non-Life Insurance
Mathematical Finance
2022-06-30 v5
Abstract
In this paper we propose a general framework for modeling an insurance liability cash flow in continuous time, by generalizing the reduced-form framework for credit risk and life insurance. In particular, we assume a nontrivial dependence structure between the reference filtration and the insurance internal filtration. We apply these results for pricing and hedging non-life insurance liabilities in hybrid financial and insurance markets, while taking into account the role of inflation under the benchmarked risk-minimization approach. This framework offers at the same time a general and flexible structure, and an explicit and treatable pricing-hedging formula.
Keywords
Cite
@article{arxiv.1802.07741,
title = {Extended Reduced-Form Framework for Non-Life Insurance},
author = {Francesca Biagini and Yinglin Zhang},
journal= {arXiv preprint arXiv:1802.07741},
year = {2022}
}