Optimal intertemporal risk allocation applied to insurance pricing

Fukuda, Kei; Inoue, Akihiko; Nakano, Yumiharu

Hokkaido University Preprint Series in Mathematics, 2007, 882, 1-20

Permalink : https://doi.org/10.14943/84032

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アクセス権	open access
DOI	https://doi.org/10.14943/84032
URI	https://hdl.handle.net/2115/69691
タイトル	Optimal intertemporal risk allocation applied to insurance pricing
著者	Fukuda, Kei ; Inoue, Akihiko ; Nakano, Yumiharu
著者名 Fukuda, Kei
著者名 Inoue, Akihiko
著者名 Nakano, Yumiharu
言語	英語
キーワード	Indifference pricing
	optimal intertemporal risk allocation
	Pareto optimality
	exponential utility
	insurance
	premium calculation method
発行日	2007
出版者	Department of Mathematics, Hokkaido University
収録物名	Hokkaido University Preprint Series in Mathematics
巻(号)	882
ページ	1-20
抄録	We present a general approach to the pricing of products in finance and insurance in the multi-period setting. It is a combination of the utility indifference pricing and optimal intertemporal risk allocation. We give a characterization of the optimal intertemporal risk allocation by a first order condition. Applying this result to the exponential utility function, we obtain an essentially new type of premium calculation method for a popular type of multi-period insurance contract. This method is simple and can be easily implemented numerically. We see that the results of numerical calculations are well coincident with the risk loading level determined by traditional practices. The results also suggest a possible implied utility approach to insurance pricing.
資源タイプ	紀要論文
出版タイプ	Version of Record