A Discrete Time Benchmark Approach for Insurance and Finance

DOI10.2143/AST.33.2.503688MaRDI QIDQ4661678zbMATH OpenOpenAlexFDO

Authors Hans Bühlmann, Eckhard Platen

Publication date 30 March 2005

Published in ASTIN Bulletin (Search for Journal in Brave)

Full work available at URL https://doi.org/10.2143/ast.33.2.503688

zbMATH Keywords

actuarial pricingbenchmark approachfair pricingfinancial and insurance market modelgrowth optimal portfolionumeraire portfoliounit linked insurance

Mathematics Subject Classification ID

Continuity and singularity of induced measures (60G30) Applications of statistics to actuarial sciences and financial mathematics (62P05)

Recommendations

• scientific article; zbMATH DE number 5052232
• A BENCHMARK APPROACH TO FINANCE
• A benchmarking approach to optimal asset allocation for insurers and pension funds
• Benchmarking in two price financial markets
• Fair dynamic valuation of insurance liabilities: merging actuarial judgement with market- and time-consistency

Cites work

• A complete explicit solution to the log-optimal portfolio problem.
• scientific article; zbMATH DE number 740737 (Why is no real title available?)
• scientific article; zbMATH DE number 1095739 (Why is no real title available?)
• On Esscher Transforms in Discrete Finance Models
• The asymptotic elasticity of utility functions and optimal investment in incomplete markets
• The numeraire portfolio for unbounded semimartingale
• The Potential Approach to the Term Structure of Interest Rates and Foreign Exchange Rates

Cited in

(10)

• A discussion on Buhlmann's criterion for asset valuation.
• Arbitrage concepts under trading restrictions in discrete-time financial markets
• Term structure of discount rates for firms in the insurance industry
• Numeraire portfolios and utility-based price systems under proportional transaction costs
• Portfolio optimization in a defaultable Lévy-driven market model
• A fair pricing approach to weather derivatives
• Pricing of long dated equity-linked life insurance contracts
• No Arbitrage and the Growth Optimal Portfolio
• A General Benchmark Model for Stochastic Jump Sizes
• Insurance-finance arbitrage

This page was built for publication: A Discrete Time Benchmark Approach for Insurance and Finance

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4661678)