The valuation of options embedded in insurance contracts using concepts from financial mathematics (in particular, from option pricing theory), typically referred to as fair valuation, has recently attracted considerable interest in academia as well as among practitioners. The aim of this...

Generalizing a result by Cox and Leland (2000) and Vanduffel et al. (2009), this note shows that risk-averse investors with fixed planning horizon prefer path-independent payoffs in any financial market if the pricing kernel is a function of the underlying’s price at the end of the planning...