On the Risk of Insurance Liabilities: Debunking Some Common Pitfalls

Journal of Risk and Insurance

Volumn 64, Issue 4, 1997, Pages 673-694

  Briys, Eric ^a   De Varenne, François ^a  

^a NONE

Author keywords

[No Author keywords available]

Indexed keywords

EID: 0000250969     PISSN: 00224367     EISSN: None     Source Type: Journal    
DOI: 10.2307/253891     Document Type: Article

References (11)

1. Babbel, D. and R. Stricker, 1989, Asset/Liability Management for Insurers, Insurance Perspectives, Goldman Sachs, New York.
2. Black, F. and M. Scholes, 1973, The Pricing of Options and Corporate Liabilities, Journal of Political Economy, 84: 637-659.
3. Briys, E. and F. de Varenne, 1994, Life Insurance in a Contingent Claim Framework: Pricing and Regulatory Implications, Geneva Papers on Risk and Insurance Theory, 19: 53-72.
4. Harrison, J. M. and D. M. Kreps, 1979, Martingales and Arbitrage in Multiperiod Securities Markets, Journal of Economic Theory, 20: 381-408.
5. Merton, R. C., 1973, Theory of Rational Option Pricing, Bell Journal of Economics and Management Science, 4: 141-183.
6. Merton, R. C., 1977, An Analytic Derivation of the Cost of Deposit Insurance and Loan Guarantees, Journal of Banking and Finance, 1: 3-11.
7. Merton, R. C., 1978, On the Cost of Deposit Insurance When There Are Surveillance Costs, Journal of Business, 51: 439-452.
8. Merton, R. C., 1990, Continuous Time Finance (Cambridge: Basil Blackwell).
9. Vasicek, O., 1977, An Equilibrium Characterization of the Tenu Structure, Journal of Financial Economics, 7: 117-161.
10. White, L. J. 1991, The S&L Debacle (New York: Oxford University Press).
11. Wright, K. M., 1991, The Structure Conduct and Regulation of the Life Insurance Industry, in: R. W. Kopcke and R. E. Randall, eds., The Financial Condition and Regulation of Insurance Companies (Boston: Federal Reserve Bank of Boston).