Financial Bounds for Insurance Claims
用无差异定价原则为保险索赔定价，推导出价格下界，并指出传统折现期望值不再适用，需用协方差项修正，对精算师和金融从业者理解保险与金融市场互动有参考价值。
Abstract In this article, insurance claims are priced using an indifference pricing principle. We first revisit the traditional economic framework and then extend it to incorporate a financial (sub)market as a tool to invest and to (partially) hedge. In this context, we derive lower bounds for claims' prices, and these bounds correspond to the market prices of some explicitly known financial payoffs. In particular, we show that the discounted expected value is no longer valid as a classical lower bound for insurance prices in general: it has to be corrected by a covariance term that reflects the interaction between the insurance claim and the financial market. Examples that deal with equity‐linked insurance contracts illustrate the article.