No arbitrage in insurance and the QP-rule.

@article{Artzner2020NoAI,
  title={No arbitrage in insurance and the QP-rule.},
  author={Philippe Artzner and Karl-Theodor Eisele and T. Schmidt},
  journal={arXiv: Mathematical Finance},
  year={2020}
}
  • Philippe Artzner, Karl-Theodor Eisele, T. Schmidt
  • Published 2020
  • Economics, Mathematics
  • arXiv: Mathematical Finance
  • This paper is an attempt to study fundamentally the valuation of insurance contracts. We start from the observation that insurance contracts are inherently linked to financial markets, be it via interest rates, or -- as in hybrid products, equity-linked life insurance and variable annuities -- directly to stocks or indices. By defining portfolio strategies on an insurance portfolio and combining them with financial trading strategies we arrive at the notion of insurance-finance arbitrage (IFA… CONTINUE READING
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