Pricing of export credit is a challenge in the globalised world trade. Annual premia represent billions of euros or dollars and may determine competition. This book develops a rigorous new framework for pricing export credit products, e.g. buyer and supplier credit insurance and performance and working capital guarantees , based on well-known financial and actuarial theories. It introduces the products, the theories and the different data sources in order to apply the mathematical and financial ideas, e.g. discounting, risk-neutral valuation and Merton type defaults. It shows the differences of historical experience and implicit market pricing assumptions. The well-known OECD Arrangement is used as a benchmark for some part of the framework. Short code snippets in R are given in order to re-perform the results and have a basis to try own ideas. Many unprecedented exhibits give new insights into the subject matter. The book is targeted at practitioners and actuaries in the field with a good quantitative background.
Claudio received a Master's degree in economics from the University of St. Gallen (Switzerland) and a Master in Mechanical Engineering from the Swiss Federal Institute of Technology (ETH) in Zurich (Switzerland).
Chapter 1. Motivation.- Chapter 2. Export Credit Industry.- Chapter 3. Insurance Background.- Chapter 4. Finance Fundamentals.- Chapter 5. Preliminaries.- Chapter 6. New Premium Framework.- Chapter 7. Historic Default Rates.- Chapter 8. Market Version of the Framework.- Chapter 9. Minimum Interest Calculation.- Chapter 10. Comparison with OECD Arrangement.- Chapter 11. Other Pricing.- Chapter 12. Conclusions.