Approximations of multi-period liability values by simple formulas
The paper is centered on multi-period valuation in insurance. After presenting preliminary properties of conditional distributions and risk measures, the study focuses on a non-life insurance model for aggregate claim amounts. A model class is given that illustrates models that could be considered for cashflows. Convergence results are provided with the aim of deriving explicit and tractable expressions for multi-period valuations. These arise as limit objects of sequences of multi-period models converging in terms of conditional weak convergence.
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