A Universal Framework for Pricing Financial and Insurance Risks

Shaun Shuxun Wang

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Stochastic processes and financial applications Insurance and Financial Risk Management Probability and Risk Models

Abstract

Abstract This paper presents a universal framework for pricing financial and insurance risks. Examples are given for pricing contingent payoffs, where the underlying asset or liability can be either traded or not traded. The paper also outlines an application of the framework to prescribe capital allocations within insurance companies, and to determine fair values of insurance liabilities.

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1973The Pricing of Options and Corporate Liabilities 1973An Intertemporal Capital Asset Pricing Model 2016“Options, Futures, and Other Derivatives”1997Modelling Extremal Events 2003Options, Futures and Other Derivatives 1976The valuation of options for alternative stochastic processes 2000A Class of Distortion Operators for Pricing Financial and Insurance Risks 1980An Economic Premium Principle

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