Market value margin via mean-variance hedging
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Recommendations
- On market value margins and cost of capital
- Fair valuation of insurance liabilities via mean-variance hedging in a multi-period setting
- Insurance valuation: a computable multi-period cost-of-capital approach
- Market-consistent valuation of insurance liabilities by cost of capital
- Mean-variance hedging for general claims
Cites work
- Financial modeling, actuarial valuation and solvency in insurance
- From actuarial to financial valuation principles
- Hedging by sequential regressions revisited
- scientific article; zbMATH DE number 2231189 (Why is no real title available?)
- Mean-variance portfolio selection for a non-life insurance company
- On the structure of general mean-variance hedging strategies
- Pricing of reinsurance contracts in the presence of catastrophe bonds
- Risk-minimizing hedging strategies for insurance payment processes
- Risk-Minimizing Hedging Strategies for Unit-Linked Life Insurance Contracts
- The pricing of liabilities in an incomplete market using dynamic mean-variance hedging
- Valuation and hedging of life insurance liabilities with systematic mortality risk
Cited in
(15)- Indifference pricing of insurance contracts in a product space model
- Asset-liability management for long-term insurance business
- Fair dynamic valuation of insurance liabilities via convex hedging
- The value of a liability cash flow in discrete time subject to capital requirements
- Best-estimate claims reserves in incomplete markets
- Fair valuation of insurance liabilities: merging actuarial judgement and market-consistency
- Affordable and adequate annuities with stable payouts: fantasy or reality?
- Market value margin calculations under the cost of capital approach within a Bayesian chain ladder framework
- Financial position and performance in IFRS 17
- Insurance valuation: a computable multi-period cost-of-capital approach
- Insurance valuation: A two-step generalised regression approach
- Fair dynamic valuation of insurance liabilities: a loss averse convex hedging approach
- Fair valuation of insurance liabilities via mean-variance hedging in a multi-period setting
- Multiple-prior valuation of cash flows subject to capital requirements
- Coping with longevity via hedging: fair dynamic valuation of variable annuities
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