In this paper we propose for the first time a unified framework 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.
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