Financial modeling, actuarial valuation and solvency in insurance
DOI10.1007/978-3-642-31392-9zbMATH Open1268.91003OpenAlexW74866803MaRDI QIDQ444331FDOQ444331
Mario V. Wüthrich, Michael Merz
Publication date: 14 August 2012
Published in: Springer Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/978-3-642-31392-9
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- Risk-minimization for life insurance liabilities with basis risk
- Fair dynamic valuation of insurance liabilities: a loss averse convex hedging approach
- INSURANCE VALUATION: A TWO-STEP GENERALISED REGRESSION APPROACH
- Market value margin calculations under the cost of capital approach within a Bayesian chain ladder framework
- Fair valuation of insurance liabilities via mean-variance hedging in a multi-period setting
- Are multi-factor Gaussian term structure models still useful? An empirical analysis on Italian BTPs
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- On a relationship between randomly and non-randomly thresholded empirical average excesses for heavy tails
- Market consistent valuations with financial imperfection
- Multiple-prior valuation of cash flows subject to capital requirements
- Value-at-Risk, Tail Value-at-Risk and upper tail transform of the sum of two counter-monotonic random variables
- Solvency
- Fair dynamic valuation of insurance liabilities via convex hedging
- A MIXED BOND AND EQUITY FUND MODEL FOR THE VALUATION OF VARIABLE ANNUITIES
- Best-estimate claims reserves in incomplete markets
- FUNDAMENTAL DEFINITION OF THE SOLVENCY CAPITAL REQUIREMENT IN SOLVENCY II
- Best estimate calculations of savings contracts by closed formulas: application to the ORSA
- Hedging of long term zero-coupon bonds in a market model with reinvestment risk
- COHERENT INCURRED PAID (CIP) MODELS FOR CLAIMS RESERVING
- PRICING LONGEVITY-LINKED SECURITIES IN THE PRESENCE OF MORTALITY TREND CHANGES
- Tools of construction of internal models for insurances and banks
- Economic Valuation Models for Insurers
- MARKET VALUE MARGIN VIA MEAN–VARIANCE HEDGING
- Market-consistent actuarial valuation
- Insurance valuation: a computable multi-period cost-of-capital approach
- Asymptotics of the loss-based tail risk measures in the presence of extreme risks
- Reverse sensitivity testing: what does it take to break the model?
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