Price regulation in property-liability insurance: a contingent claims approach
Article Abstract:
A model for determining the fair rate of return for insurance premiums is developed. In this model, the liabilities of the insurer to insureds, shareholders and tax authorities are contingent claims that are written on the income created by the insurer's asset portfolio. Using the observed market value of the portfolio, the value of the contingent claims can be determined and option pricing techniques can be used to set the price of the insurance contract and the fair rate of return.
Publication Name: Journal of Finance
Subject: Business
ISSN: 0022-1082
Year: 1986
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LaPlace transforms as present value rules: a note
Article Abstract:
The LaPlace transformation used by mathematicians is demonstrated to be roughly equivalent to the present value equations used in the analysis of certain financial problems. Consequently, the LaPlace equations are applicable to problems of finance. It is theorized that the LaPlace transformation equation could be useful to the security analyst on a daily basis, especially when dealing with valuation problems.
Publication Name: Journal of Finance
Subject: Business
ISSN: 0022-1082
Year: 1986
User Contributions:
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