In this paper we revisit an economic model of Buhlmann (ASTIN Bulletin, 1980) and derive equilibrium pricing transforms. We show that the Esscher Transform and the Wang Transform exhibit very different behaviors when used in pricing insurance risks.

This paper presents a universal framework for pricing financial andinsurance risks. Examples are given for pricing contingent payoffs, wherethe underlying asset or loss can be either traded or not traded....

Bug bounty program is a business activity in which firms invite white-hat hackers around the world to identify vulnerabilities in their cyber systems. The paper proposes a model to quantify the normal cybersecurity spending with respect to the importance of information systems. An upper limit of...

The importance of crypto-asset valuation is increasing as the ecosystem of blockchain continues to boom in recent years. We develop a deep learning framework to predict the value index of crypto assets by integrating the value variables’ information and decomposing the price into value and...

We present an integrated contingent claims model for valuing startup companies. We introduce an extra growth rate in the risk-neutral geometric Brownian motion process, with temporary disequilibrium balanced by the actuarial probability of project failure. We derive pricing formula for...

In an editorial in ASTIN Bulletin, Hans Bühlmann (2002) suggests it is time to change the teaching of life insurance theory towards the real life challenges of that industry. The following note is a response to this editorial

Under a guaranteed annuity option, an insurer guarantees to convert a policyholder`s accumulated funds to a life annuity at a fixed rate when the policy matures. If the annuity rates provided under the guarantee are more beneficial to the policyholder than the prevailing rates in the market the...

We consider a risk process modelled as a compound Poisson process. We find the optimal dynamic unlimited excess of loss reinsurance strategy to minimize infinite time ruin probability, and prove the existence of a smooth solution of the corresponding Hamilton- Jacobi- Bellmann equation as well...

We consider a financial market driven by a continuous time homogeneous Markov chain. Conditions for absence of arbitrage and for completeness are spelled out, non-arbitrage pricing of derivatives is discussed, and details are worked out for some cases.

An assumption concerning the long-term rate of return on assets is made by actuaries when they value defined-benefit pension plans.