Fair dynamic valuation of insurance liabilities via convex hedging
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Publication:2034141
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Cites work
- Advances in prospect theory: cumulative representation of uncertainty
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- An example of indifference prices under exponential preferences
- COHERENT ACCEPTABILITY MEASURES IN MULTIPERIOD MODELS
- Composition of time-consistent dynamic monetary risk measures in discrete time
- Dynamic exponential utility indifference valuation
- Dynamic risk measures
- Fair dynamic valuation of insurance liabilities: a loss averse convex hedging approach
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- Fair valuation of insurance liabilities via mean-variance hedging in a multi-period setting
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- Fair valuation of insurance liability cash-flow streams in continuous time: applications
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- Financial modeling, actuarial valuation and solvency in insurance
- Hedging by sequential regressions revisited
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- scientific article; zbMATH DE number 1865407 (Why is no real title available?)
- Market Consistent Pricing of Insurance Products
- Market value margin via mean-variance hedging
- Multi-portfolio time consistency for set-valued convex and coherent risk measures
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- The pricing of liabilities in an incomplete market using dynamic mean-variance hedging
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- Valuation and hedging of life insurance liabilities with systematic mortality risk
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- Value-oriented risk management of insurance companies. Translated from the German by Patrick D. F. Ion.
Cited in
(9)- A tail measure with variable risk tolerance: application in dynamic portfolio insurance strategy
- Fair dynamic valuation of insurance liabilities: merging actuarial judgement with market- and time-consistency
- 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
- Actuarial-consistency and two-step actuarial valuations: a new paradigm to insurance valuation
- The 3-step hedge-based valuation: fair valuation in the presence of systematic risks
- Coping with longevity via hedging: fair dynamic valuation of variable annuities
- Innovative combo product design embedding variable annuity and long-term care insurance contracts
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