On the cost‐of‐capital rate under incomplete market valuation-Reference-Cited by-同舟云学术

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On the cost‐of‐capital rate under incomplete market valuation

Published:2022-09-27 Issue:4 Volume:89 Page:1139-1158
ISSN:0022-4367
Container-title:Journal of Risk and Insurance
language:en
Short-container-title:J of Risk & Insurance

Author:

Albrecher Hansjörg¹²,Eisele Karl‐Theodor³,Steffensen Mogens⁴,Wüthrich Mario V.⁵

Affiliation:

1. Department of Actuarial Science, Faculty of Business and Economics University of Lausanne, UNIL‐Dorigny Lausanne Switzerland

2. Swiss Finance Institute Lausanne Switzerland

3. Institut de Recherche Mathématique Avancée (IRMA) University of Strasbourg Strasbourg Cedex France

4. Department of Mathematical Sciences University of Copenhagen Copenhagen Denmark

5. Department of Mathematics, RiskLab Switzerland ETH Zurich Zurich Switzerland

Publisher

Wiley

Subject

Economics and Econometrics,Finance,Accounting

Link

https://onlinelibrary.wiley.com/doi/pdf/10.1111/jori.12406

Reference31 articles.

1. Asset-liability management for long-term insurance business

2. Reinsurance

3. Coherent Measures of Risk

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

5. Barigou K. Linders D. &Yang F.(2021).Two‐step actuarial valuations.arXiv preprint arXiv:2109.13796.

Cited by 2 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. Introducing Credit Migration Risk in the Capital Allocation for Long-Tailed Insurance Business;SSRN Electronic Journal;2024

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

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