Abstract
We introduce a straightforward algorithm to determine a range of prices for a new risk consistent with known pricing on one or more risks and the assumption prices are determined by a law invariant, coherent or convex risk measure. In many cases the algorithm produces bounds tight enough to be useful in practice. We illustrate the theory by applying it to evaluating portfolio-level pricing by line and pricing for high limits policies relative to low limits. We also show how the theory can test if prices for a set of risks are generated by a single risk measure and show the conditions for this to be true are very strict.
Talk to us
Join us for a 30 min session where you can share your feedback and ask us any queries you have
Schedule a callDisclaimer: All third-party content on this website/platform is and will remain the property of their respective owners and is provided on "as is" basis without any warranties, express or implied. Use of third-party content does not indicate any affiliation, sponsorship with or endorsement by them. Any references to third-party content is to identify the corresponding services and shall be considered fair use under The CopyrightLaw.
