以现有投资组合作为背景风险为保险合同定价

IF 2.2 2区经济学 Q2 ECONOMICS

Insurance Mathematics & Economics Pub Date : 2025-03-07 DOI:10.1016/j.insmatheco.2025.03.001

Corrado De Vecchi , Matthias Scherer

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引用次数: 0

摘要

我们开发并研究了一项保费原则，该原则明确考虑了新风险对某些保险公司现有投资组合的影响。具体来说，我们提出了以现有投资组合作为背景风险为条件的新风险的无差异溢价的概念。由此产生的溢价规则，在我们的例子中取决于新风险和现有投资组合的联合分布，我们对其数学性质进行了详细分析。为了强调我们的方法与关于定律不变保费规则的文献之间的差异，我们特别关注了一些众所周知的依赖概念的无差异保费行为。研究了所提出的无差异溢价规则的公理化性质和连续性性质。为了证明我们方法的实际相关性，我们考虑了一个可交换风险的投资组合，并研究了投资组合的维度对要增加的风险价格的作用。这说明了在一系列风险共同分布的弹性可交换性假设下，多元化收益的局限性。

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Pricing insurance contracts with an existing portfolio as background risk

We develop and investigate a premium principle that explicitly takes into account the impact of a new risk on some insurer's existing portfolio. Specifically, we propose the notion of an indifference premium for a new risk conditioned on an existing portfolio acting as background risk. The resulting premium rule, which in our case depends on the joint distribution of the new risk and the existing portfolio, is analyzed in detail with respect to its mathematical properties. In order to underline the differences between our approach and the literature on law-invariant premium rules, special attention is given to the indifference premium behaviour with respect to some well-known dependence concepts. Axiomatic and continuity properties of the proposed indifference premium rule are also investigated. To demonstrate the practical relevance of our approach, we consider a portfolio of exchangeable risks and investigate the role of the portfolio's dimension on the price of a risk to be added. This illustrates the (limits of) diversification benefits under the flexible exchangeability assumption on the joint distribution of a sequence of risks.

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来源期刊

Insurance Mathematics & Economics 管理科学-数学跨学科应用

CiteScore

3.40

自引率

15.80%

发文量

审稿时长

17.3 weeks

期刊介绍： Insurance: Mathematics and Economics publishes leading research spanning all fields of actuarial science research. It appears six times per year and is the largest journal in actuarial science research around the world. Insurance: Mathematics and Economics is an international academic journal that aims to strengthen the communication between individuals and groups who develop and apply research results in actuarial science. The journal feels a particular obligation to facilitate closer cooperation between those who conduct research in insurance mathematics and quantitative insurance economics, and practicing actuaries who are interested in the implementation of the results. To this purpose, Insurance: Mathematics and Economics publishes high-quality articles of broad international interest, concerned with either the theory of insurance mathematics and quantitative insurance economics or the inventive application of it, including empirical or experimental results. Articles that combine several of these aspects are particularly considered.