In this paper we propose for the first time a unified framework in continuous time suitable for modeling both life and non-life insurance market, with nontrivial dependence with the financial market. We introduce a direct modeling approach, which generalizes the reduced-form framework for credit risk and life insurance.  We apply these results for pricing insurance products in hybrid markets by taking into account the role of inflation under the benchmark approach. This framework offers at the same time a general and flexible structure, as well as explicit and treatable pricing formula.
In this paper we propose a general framework for modeling an insurance claims' information flow in continuous time, by generalizing the reduced-form framework for credit risk and life insurance. In particular, we assume a nontrivial dependence structure between the reference filtration and the insurance internal filtration. We apply these results for pricing non-life insurance liabilities in hybrid financial and insurance markets, while taking into account the role of inflation under the benchmark approach. This framework offers at the same time a general and flexible structure, and explicit and treatable pricing formula.
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for the first time a unified framework in continuous time suitable for modeling both life and non-life insurance market, with nontrivial dependence with the financial market. We introduce a direct modeling approach, which generalizes the
a general framework for modeling an insurance claims' information flow in continuous time, by generalizing the
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In particular, we assume a nontrivial dependence structure between the reference filtration and the insurance internal filtration.
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insurance products in hybrid markets by
non-life insurance liabilities in hybrid financial and insurance markets, while
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as well as
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