Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
9552840 | Insurance: Mathematics and Economics | 2005 | 15 Pages |
Abstract
In this article the method of pricing the liabilities of a financial institution by means of dynamic mean-variance hedging is applied to the situation of an incomplete market that is nevertheless in equilibrium with homogeneous expectations. For a given stochastic asset-liability model that is consistent with the market, the article shows how to determine the price at which, subject to specified provisos, a prospective transferor or transferee would be indifferent to the transfer of the liabilities.
Keywords
Related Topics
Physical Sciences and Engineering
Mathematics
Statistics and Probability
Authors
Robert J. Thomson,