Fair valuation of insurance liabilities: merging actuarial judgement and market-consistency

DOI10.1016/j.insmatheco.2017.06.003zbMath1395.91249OpenAlexW2609851868MaRDI QIDQ2404536

Ben Stassen, Ze Chen, Jan Dhaene, Daniël Linders, Karim Barigou

Publication date: 19 September 2017

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

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2017.06.003

zbMATH Keywords

mean-variance hedgingSolvency IIactuarial valuationmarket-consistent valuationfair valuation of insurance liabilities

Mathematics Subject Classification ID

Related Items (21)

Actuarial-consistency and two-step actuarial valuations: a new paradigm to insurance valuation ⋮ Asset-liability management for long-term insurance business ⋮ ESTIMATION OF FUTURE DISCRETIONARY BENEFITS IN TRADITIONAL LIFE INSURANCE ⋮ Market consistent valuations with financial imperfection ⋮ INSURANCE VALUATION: A TWO-STEP GENERALISED REGRESSION APPROACH ⋮ Affordable and adequate annuities with stable payouts: fantasy or reality? ⋮ Actuarial pricing with financial methods ⋮ The 3-step hedge-based valuation: fair valuation in the presence of systematic risks ⋮ A market- and time-consistent extension for the EIOPA risk-margin ⋮ FAIR VALUATION OF INSURANCE LIABILITY CASH-FLOW STREAMS IN CONTINUOUS TIME: APPLICATIONS ⋮ CAT BOND PRICING UNDER A PRODUCT PROBABILITY MEASURE WITH POT RISK CHARACTERIZATION ⋮ VALUATION OF HYBRID FINANCIAL AND ACTUARIAL PRODUCTS IN LIFE INSURANCE BY A NOVEL THREE-STEP METHOD ⋮ Fair dynamic valuation of insurance liabilities: a loss averse convex hedging approach ⋮ Fair valuation of insurance liabilities via mean-variance hedging in a multi-period setting ⋮ Fair dynamic valuation of insurance liabilities: merging actuarial judgement with market- and time-consistency ⋮ Fair valuation of insurance liability cash-flow streams in continuous time: theory ⋮ Fair dynamic valuation of insurance liabilities via convex hedging ⋮ Law-invariant functionals that collapse to the mean ⋮ Revisiting optimal investment strategies of value-maximizing insurance firms ⋮ Pricing equity-linked life insurance contracts with multiple risk factors by neural networks ⋮ Time-consistent and market-consistent actuarial valuation of the participating pension contract

Cites Work

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• The Minimal Entropy Martingale Measure and the Valuation Problem in Incomplete Markets
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