Research Reports from the Department of Operations

Document Type

Report

Publication Date

1-1-1987

Abstract

This article develops a premium valuation formula for international insurance and reinsurance contracts. Specifically, the expected utility equivalence framework is reformulated in a dynamic mode to account for the stochastic nature of exchange rates movements which allows for the joint factoring of insurance and exchange risk into the premium valuation process. Assuming a Compound Poisson Claim Process and lognormally distributed exchange rates actuarially fair premia are derived for international insurance, proportional and excess loss reinsurance contracts.

Keywords

Operations research, Insurance--Rates, Reinsurance--Mathematical models, Risk management--Mathematical models, Poisson processes, Actuarial science, International finance

Publication Title

Scandinavian Actuarial Journal, 1987(1–2) ; Technical Memorandums from the Department of Operations, School of Management, Case Western Reserve University

Issue

Technical memorandum no. 605

Rights

This work is in the public domain and may be freely downloaded for personal or academic use

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