Title: Extended Reduced-Form Framework for Non-Life Insurance,
Abstract: 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.