Multidimensional valuation of life insurance policies and fair value

MaRDI QIDQ2801356zbMATH OpenFDO

Authors Gabi Baumgartner, Hans Bühlmann, Michael Koller

Publication date 7 April 2016

Published in Mitteilungen. Schweizerische Aktuarvereinigung (SAV) (Search for Journal in Brave)

Full work available at URL http://www.actuaries.ch/images/getFile?t=bulletin&f=dokument&id=24

Mathematics Subject Classification ID

Applications of Markov chains and discrete-time Markov processes on general state spaces (social mobility, learning theory, industrial processes, etc.) (60J20) Applications of statistics to actuarial sciences and financial mathematics (62P05)

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Cited in

(10)

• scientific article; zbMATH DE number 1210540 (Why is no real title available?)
• The IASB insurance project for life insurance contracts: Impact on reserving methods and solvency requirements
• Un metodo di valutazione di un portafoglio assicurativo vita
• On accounting standards and fair valuation of life insurance and pension liabilities
• scientific article; zbMATH DE number 5151672 (Why is no real title available?)
• scientific article; zbMATH DE number 2063850 (Why is no real title available?)
• Market-consistent actuarial valuation
• Fair valuation of universal life policies via a replicating portfolio
• Valuation of life insurance surrender and exchange options
• A sensitivity analysis concept for life insurance with respect to a valuation basis of infinite dimension

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