Approximations of multi-period liability values by simple formulas (Q6961591)
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scientific article; zbMATH DE number 8061731
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| English | Approximations of multi-period liability values by simple formulas |
scientific article; zbMATH DE number 8061731 |
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Approximations of multi-period liability values by simple formulas (English)
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10 July 2025
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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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valuation
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multi-period models
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conditional weak convergence
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