Market-Consistent Valuation of Insurance Liabilities by Cost of Capital

DOI10.2143/AST.41.2.2136980zbMath1239.91082arXiv1101.0079OpenAlexW1948074738MaRDI QIDQ2890518

Christoph Möhr

Publication date: 11 June 2012

Full work available at URL: https://arxiv.org/abs/1101.0079

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Corporate finance (dividends, real options, etc.) (91G50)

Related Items (16)

Actuarial-consistency and two-step actuarial valuations: a new paradigm to insurance valuation ⋮ Asset-liability management for long-term insurance business ⋮ Solvency capital estimation, reserving cycle and ultimate risk ⋮ INSURANCE VALUATION: A TWO-STEP GENERALISED REGRESSION APPROACH ⋮ Multiple-prior valuation of cash flows subject to capital requirements ⋮ Market inconsistencies of market-consistent European life insurance economic valuations: pitfalls and practical solutions ⋮ 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 dynamic valuation of insurance liabilities: a loss averse convex hedging approach ⋮ Multilevel Monte Carlo for computing the SCR with the standard formula and other stress tests ⋮ Insurance valuation: a computable multi-period cost-of-capital approach ⋮ Fair valuation of insurance liabilities via mean-variance hedging in a multi-period setting ⋮ The value of a liability cash flow in discrete time subject to capital requirements ⋮ FUNDAMENTAL DEFINITION OF THE SOLVENCY CAPITAL REQUIREMENT IN SOLVENCY II ⋮ Continuous-time limits of multi-period cost-of-capital margins ⋮ Financial position and performance in IFRS 17

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