Market consistent valuations with financial imperfection

DOI10.1007/S10203-018-0207-2zbMath1391.91167OpenAlexW2796227626MaRDI QIDQ1640175

Hirbod Assa, Nikolay Gospodinov

Publication date: 13 June 2018

Published in: Decisions in Economics and Finance (Search for Journal in Brave)

Full work available at URL: https://kar.kent.ac.uk/87561/1/Assa-Gospodinov2018_Article_MarketConsistentValuationsWith.pdf

zbMATH Keywords

hedgingrisk evaluationmarket consistent valuationimperfect financial valuation

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70) Microeconomic theory (price theory and economic markets) (91B24) Actuarial science and mathematical finance (91G99)

Related Items (5)

Actuarial-consistency and two-step actuarial valuations: a new paradigm to insurance valuation ⋮ INSURANCE VALUATION: A TWO-STEP GENERALISED REGRESSION APPROACH ⋮ A market- and time-consistent extension for the EIOPA risk-margin ⋮ VALUATION OF HYBRID FINANCIAL AND ACTUARIAL PRODUCTS IN LIFE INSURANCE BY A NOVEL THREE-STEP METHOD ⋮ Price Index Insurances in the Agriculture Markets

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