Fair dynamic valuation of insurance liabilities: a loss averse convex hedging approach-Reference-Cited by-同舟云学术

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Fair dynamic valuation of insurance liabilities: a loss averse convex hedging approach

Published:2020-04-24 Issue:9 Volume:2020 Page:792-818
ISSN:0346-1238
Container-title:Scandinavian Actuarial Journal
language:en
Short-container-title:Scandinavian Actuarial Journal

Author:

Chen Ze¹^ORCID,Chen Bingzheng²,Dhaene Jan³^ORCID

Affiliation:

1. School of Finance, Renmin University of China, Beijing, People's Republic of China

2. School of Economics and Management, Tsinghua University, Beijing, People's Republic of China

3. Faculty of Economics and Business, Actuarial Research Group, AFI, KU Leuven, Leuven, Belgium

Funder

Research Funds of Renmin University of China

Publisher

Informa UK Limited

Subject

Statistics, Probability and Uncertainty,Economics and Econometrics,Statistics and Probability

Link

https://www.tandfonline.com/doi/pdf/10.1080/03461238.2020.1750469

Cited by 9 articles. 订阅此论文施引文献订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献

1. Coping with longevity via hedging: Fair dynamic valuation of variable annuities;Insurance: Mathematics and Economics;2024-07

2. Efficient Hedging of Life Insurance Portfolio for Loss-Averse Insurers;2024

3. Insurance–finance arbitrage;Mathematical Finance;2023-07-24

4. A Tail Measure With Variable Risk Tolerance: Application in Dynamic Portfolio Insurance Strategy;Methodology and Computing in Applied Probability;2022-03-22

5. INSURANCE VALUATION: A TWO-STEP GENERALISED REGRESSION APPROACH;ASTIN Bulletin;2021-12-03

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