Abstract
Constraints imposed on premium calculation principles are studied under one aspect of competitive market theory: the impossibility of systematic arbitrage. Principles based on second moments or utility theory are shown to lead to arbitrage possibilities, while some other principles do not.
Reinsurance Research - Pricing/Contract Design
Volume
21:2
Page
223
Year
1991
Categories
Actuarial Applications and Methodologies
Investments
Arbitrage Pricing Theory (APT);
Business Areas
Reinsurance
Publications
ASTIN Bulletin
