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Evaluating Hybrid Products: The Interplay Between Financial and Insurance Markets

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Seminar on Stochastic Analysis, Random Fields and Applications VII

Part of the book series: Progress in Probability ((PRPR,volume 67))

Abstract

A current issue in the theory and practice of insurance and reinsurance markets is to find alternative ways of securitizing risks. Insurance companies have the possibility of investing in financial markets and therefore hedge against their risks with financial instruments. Furthermore they can sell part of their insurance risk by introducing insurance linked products on financial markets. Hence insurance and financial markets may no longer be considered as disjoint objects, but can be viewed as one arbitrage-free market. Here we provide an introduction to how mathematical methods for pricing and hedging financial claims such as the benchmark approach and local risk minimization can be applied to the valuation of hybrid financial insurance products, as well as to premium determination, risk mitigation and claim reserve management.

Mathematics Subject Classification (2010). Primary 97M30; Secondary 62P05, 60H30, 60G44.

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Author information

Authors and Affiliations

  1. Department of Mathematics, University of Munich, Theresienstraße, 39, D-80333, Munich, Germany

    Francesca Biagini

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  1. Francesca Biagini
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Correspondence to Francesca Biagini .

Editor information

Editors and Affiliations

  1. Institut de Mathématiques (IMA) Chaire de Statistiques Appliquées (STAP), Ecole Polytechnique Fédérale de Lausanne Fac. Sciences de Base (FSB), Lausanne, Switzerland

    Robert C. Dalang

  2. Institut Elie Cartan, Université de Lorraine, Vandoeuvre-les-Nancy CX, France

    Marco Dozzi

  3. Unité de Mathématiques appliquées, ENSTA ParisTech, Palaiseau, France

    Francesco Russo

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Biagini, F. (2013). Evaluating Hybrid Products: The Interplay Between Financial and Insurance Markets. In: Dalang, R., Dozzi, M., Russo, F. (eds) Seminar on Stochastic Analysis, Random Fields and Applications VII. Progress in Probability, vol 67. Birkhäuser, Basel. https://doi.org/10.1007/978-3-0348-0545-2_15

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