Fair dynamic valuation of insurance liabilities: Merging actuarial judgement with market- and time-consistency-Reference-Cited by-同舟云学术

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Fair dynamic valuation of insurance liabilities: Merging actuarial judgement with market- and time-consistency

Published:2019-09 Issue: Volume:88 Page:19-29
ISSN:0167-6687
Container-title:Insurance: Mathematics and Economics
language:en
Short-container-title:Insurance: Mathematics and Economics

Author:

Barigou Karim^ORCID,Chen Ze,Dhaene Jan^ORCID

Funder

KU Leuven

Research Foundation — Flanders (FWO)

Tsinghua University — KU Leuven

Insurance Institute of China research grant

Publisher

Elsevier BV

Subject

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

Reference32 articles.

1. Dynamic risk measures;Acciaio,2011

2. On improving the least squares Monte Carlo option valuation method;Areal;Rev. Deriv. Res.,2008

3. Coherent multiperiod risk adjusted values and Bellman’s principle;Artzner;Ann. Oper. Res.,2007

4. Artzner, P., Eisele, K., 2010. Supervisory accounting: comparison between solvency 2 and coherent risk measures. In: Actuarial and Financial Mathematics Conference: Interplay Between Finance and Insurance, pp. 3–15.

5. Fair valuation of insurance liabilities via mean-variance hedging in a multi-period setting;Barigou;Scand. Actuar. J.,2019

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

2. Multiple-prior valuation of cash flows subject to capital requirements;Insurance: Mathematics and Economics;2023-07

3. A Comparison of Index-Linked Annuities;North American Actuarial Journal;2023-03-21

4. The 3-step hedge-based valuation: fair valuation in the presence of systematic risks;ASTIN Bulletin;2023-03-14

5. A market- and time-consistent extension for the EIOPA risk-margin;European Actuarial Journal;2023-02-08

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