Financial pricing of insurance in the multiple-line insurance company

@inproceedings{Phillips1996FinancialPO,
  title={Financial pricing of insurance in the multiple-line insurance company},
  author={Richard Phillips and Joanna Cummins and Franklin Allen},
  year={1996}
}
This paper uses a contingent claims framework to develop a financial pricing model of insurance that allows for the determination of premium levels by line of business. The model overcomes one of the main shortcomings of previous financial models of insurance: namely, the inability to price insurance in a multiple line insurer subject to default risk. The model implies that it is not appropriate to allocate equity capital by line; rather, the price in a given line depends upon the overall risk… CONTINUE READING
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