Pricing in incomplete markets

This Netspar Panel Paper by Antoon Pelsser (Maastricht University) discusses the pricing of contracts in an incomplete market setting. For life insurance companies and pension funds, it is always the case in practice that not all of the risks in their books can be hedged. Hence, the standard Black-Scholes methodology cannot be applied in this situation. The paper discusses and compares several methods that have been proposed in the literature in recent years: the Cost-of-Capital method (the current industry standard), Good Deal Bound pricing, and pricing under Model Ambiguity.

Netspar, Network for Studies on Pensions, Aging and Retirement, is een denktank en kennisnetwerk. Netspar is gericht op een goed geïnformeerd pensioendebat.

MEER OVER NETSPAR


Missie en strategie           •           Netwerk           •           Organisatie           •          Podcasts
Board Brief            •            Werkprogramma 2023-2027           •           Onderzoeksagenda

OVER NETSPAR

Onze partners

B20160708_tilburg university
B20200214_BlackRock_BLK_eng_black_rgb_small
B20200104_RailOV_logoo.original.grijswaarden
Print
B20190823_mn-logo_small
Bekijk al onze partners