Time-consistent actuarial valuations

DOI10.1016/J.INSMATHECO.2015.10.010zbMath1348.91178arXiv1109.1751OpenAlexW3123607667MaRDI QIDQ903338

Antoon Pelsser, Ahmad Salahnejhad Ghalehjooghi

Publication date: 5 January 2016

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1109.1751

zbMATH Keywords

partial differential equationinfinitesimal generatorjump processbackward iterationactuarial valuationtime-consistent

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of stochastic analysis (to PDEs, etc.) (60H30) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (12)

Socio-economic differentiation in experienced mortality modelling and its pricing implications ⋮ Intergenerational risk sharing in closing pension funds ⋮ Fair valuation of insurance liabilities: merging actuarial judgement and market-consistency ⋮ Time-consistent evaluation of credit risk with contagion ⋮ Affordable and adequate annuities with stable payouts: fantasy or reality? ⋮ A market- and time-consistent extension for the EIOPA risk-margin ⋮ FAIR VALUATION OF INSURANCE LIABILITY CASH-FLOW STREAMS IN CONTINUOUS TIME: APPLICATIONS ⋮ VALUATION OF HYBRID FINANCIAL AND ACTUARIAL PRODUCTS IN LIFE INSURANCE BY A NOVEL THREE-STEP METHOD ⋮ Fair valuation of insurance liability cash-flow streams in continuous time: theory ⋮ Pricing and hedging in incomplete markets with model uncertainty ⋮ Continuous-time limits of multi-period cost-of-capital margins ⋮ Time-consistent and market-consistent actuarial valuation of the participating pension contract

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