Insurance-finance arbitrage
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Recommendations
- Robust asymptotic insurance-finance arbitrage
- Risk analysis and valuation of life insurance contracts: combining actuarial and financial approaches
- No-arbitrage pricing for life insurance and annuities.
- On the (in-)dependence between financial and actuarial risks
- Valuation of life insurance products under stochastic interest rates
Cites work
- A BENCHMARK APPROACH TO FINANCE
- A Discrete Time Benchmark Approach for Insurance and Finance
- A fundamental theorem of asset pricing for continuous time large financial markets in a two filtration setting
- A fundamental theorem of asset pricing for large financial markets.
- A Hilbert space proof of the fundamental theorem of asset pricing in finite discrete time
- Actuarial finance. Derivatives, quantitative models and risk management
- Actuarial-consistency and two-step actuarial valuations: a new paradigm to insurance valuation
- Closed-form solutions for guaranteed minimum accumulation and death benefits
- Coherent measures of risk
- Composition of time-consistent dynamic monetary risk measures in discrete time
- Conditional essential suprema with applications
- Discrete-time local risk minimization of payment processes and applications to equity-linked life-insurance contracts
- Dynamic coherent risk measures
- Dynamic monetary risk measures for bounded discrete-time processes
- Enlargement of filtrations with finance in view
- Equivalent martingale measures and no-arbitrage in stochastic securities market models
- Fair dynamic valuation of insurance liabilities: a loss averse convex hedging approach
- Fair dynamic valuation of insurance liabilities: merging actuarial judgement with market- and time-consistency
- Guaranteed minimum withdrawal benefit in variable annuities
- scientific article; zbMATH DE number 4007456 (Why is no real title available?)
- scientific article; zbMATH DE number 2188569 (Why is no real title available?)
- Indifference fee rate for variable annuities
- Market Consistent Pricing of Insurance Products
- Max-min optimization problem for variable annuities pricing
- MODEL UNCERTAINTY AND ITS IMPACT ON THE PRICING OF DERIVATIVE INSTRUMENTS
- Multiperiod insurance supervision: top-down models
- No arbitrage in discrete time under portfolio constraints.
- On convex risk measures on \(L^{p}\)-spaces
- On the (in-)dependence between financial and actuarial risks
- RISK MEASURES ON ORLICZ HEARTS
- Risk-minimization for life insurance liabilities with dependent mortality risk
- Risk-minimizing hedging strategies for insurance payment processes
- Robust evaluation of SCR for participating life insurances under Solvency II
- Stochastic Differential Utility
- Stochastic finance. An introduction in discrete time.
- Supervisory insurance accounting mathematics for provision -- and solvency capital -- requirement
- The Dalang-Morton-Willinger theorem under delayed and restricted information
- The fundamental theorem of asset pricing, the hedging problem and maximal claims in financial markets with short sales prohibitions
- The mathematics of arbitrage
- The structure of m-stable sets and in particular of the set of risk neutral measures
- The value of a liability cash flow in discrete time subject to capital requirements
- Time-consistent actuarial valuations
- TIME‐CONSISTENT AND MARKET‐CONSISTENT EVALUATIONS
- Valuation of hybrid financial and actuarial products in life insurance by a novel three-step method
- Variable annuities in a Lévy-based hybrid model with surrender risk
- Variable annuities with VIX-linked fee structure under a Heston-type stochastic volatility model
Cited in
(5)- Robust asymptotic insurance-finance arbitrage
- The recalibration conundrum: hedging valuation adjustment for callable claims
- On the valuation of life insurance policies for dependent coupled lives
- Handling model risk with XVAs
- Indifference pricing of mortality-linked securities using backward stochastic differential equations
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