Multiperiod insurance supervision: top-down models
From MaRDI portal
cost of capitaloptimal replicating portfolioown fundsregulated marketrisk marginsolvency capital requirementtime consistency
Recommendations
- Supervisory insurance accounting mathematics for provision -- and solvency capital -- requirement
- Insurance solvency risk analytics: cost-of-capital and prospective liability approach
- Insurance valuation: a computable multi-period cost-of-capital approach
- Market-consistent valuation of insurance liabilities by cost of capital
- Capital allocation and RORAC optimization under Solvency 2 standard formula
Cites work
- Coherent measures of risk
- scientific article; zbMATH DE number 3373117 (Why is no real title available?)
- Multiperiod insurance supervision: top-down models
- Subgame-perfect equilibria of finite- and infinite-horizon games
- Supervisory insurance accounting mathematics for provision -- and solvency capital -- requirement
Cited in
(9)- Best-estimate claims reserves in incomplete markets
- Supervisory insurance accounting mathematics for provision -- and solvency capital -- requirement
- Asymptotically stable dynamic risk assessments
- Wealth transfers, indifference pricing, and XVA compression schemes
- Multiperiod insurance supervision: top-down models
- Insurance-finance arbitrage
- Addressing theoretical and empirical discrepancies in life insurance valuations through EMS
- On the regulator-insurer interaction in a structural model
- Weak topologies for modules over rings of bounded random variables
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