Market Consistent Pricing of Insurance Products
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equilibrium theory of asset and liability pricingpricing of insurance products in multiperiod financial market
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Cites work
- A general version of the fundamental theorem of asset pricing
- A valuation algorithm for indifference prices in incomplete markets
- An example of indifference prices under exponential preferences
- Estimating the Value of the Wincat Coupons of the Winterthur Insurance Convertible Bond: A Study of the Model Risk
- Explicit solutions to an optimal portfolio choice problem with stochastic income
- Exponential Hedging and Entropic Penalties
- scientific article; zbMATH DE number 1869272 (Why is no real title available?)
- Market-Consistent Actuarial Valuation
- Markovian term structure models in discrete time
- Mathematics of financial markets.
- On Esscher Transforms in Discrete Finance Models
- Optimal consumption from investment and random endowment in incomplete semimartingale markets.
- Optimum consumption and portfolio rules in a continuous-time model
- VALUATION OF CLAIMS ON NONTRADED ASSETS USING UTILITY MAXIMIZATION
Cited in
(34)- Pricing insurance contracts -- an economic viewpoint
- Market inconsistencies of market-consistent European life insurance economic valuations: pitfalls and practical solutions
- Fair dynamic valuation of insurance liabilities via convex hedging
- Law-invariant functionals that collapse to the mean
- Fair dynamic valuation of insurance liabilities: merging actuarial judgement with market- and time-consistency
- Fair valuation of insurance liability cash-flow streams in continuous time: theory
- The value of a liability cash flow in discrete time subject to capital requirements
- Best-estimate claims reserves in incomplete markets
- Indifference pricing for CRRA utilities
- Fair valuation of insurance liabilities: merging actuarial judgement and market-consistency
- Research on insurance pricing in an incomplete market
- Pricing Dynamic Insurance Risks Using the Principle of Equivalent Utility
- A Universal Framework for Pricing Financial and Insurance Risks
- A Class of Mortgage Insurance Pricing
- Time-consistent and market-consistent actuarial valuation of the participating pension contract
- Extended reduced-form framework for non-life insurance
- 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
- Pricing and hedging insurance products in hybrid markets
- TIME‐CONSISTENT AND MARKET‐CONSISTENT EVALUATIONS
- Pragmatic insurance option pricing
- PRICING PARTICIPATING POLICIES WITH RATE GUARANTEES
- Fair valuation of insurance liabilities via mean-variance hedging in a multi-period setting
- Evaluating hybrid products: the interplay between financial and insurance markets
- Multiple-prior valuation of cash flows subject to capital requirements
- The 3-step hedge-based valuation: fair valuation in the presence of systematic risks
- A market- and time-consistent extension for the EIOPA risk-margin
- An academic view on the illiquidity premium and market-consistent valuation in insurance
- From the equivalence principle to market consistent valuation
- Insurance-finance arbitrage
- Robust asymptotic insurance-finance arbitrage
- Market-Consistent Valuation and Capital Assessment for Demographic Risk in Life Insurance: A Cohort Approach
- Indifference pricing of mortality-linked securities using backward stochastic differential equations
- Addressing theoretical and empirical discrepancies in life insurance valuations through EMS
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