Mathematical foundation of the replicating portfolio approach
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cash flow matchingFTAPgain-loss ratioMCEVreplicating portfoliorisk capitalSolvency IIterminal value matching
Recommendations
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- scientific article; zbMATH DE number 5592322
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Cites work
- Calmness of constraint systems with applications
- Equivalent martingale measures and no-arbitrage in stochastic securities market models
- scientific article; zbMATH DE number 2051217 (Why is no real title available?)
- Mathematical analysis of different approaches for replicating portfolios
- On Choosing and Bounding Probability Metrics
- On convex risk measures on \(L^{p}\)-spaces
- On the calculation of the solvency capital requirement based on nested simulations
- On the Risk-Neutral Valuation of Life Insurance Contracts with Numerical Methods in View
- Replicating portfolio approach to capital calculation
- The best gain-loss ratio is a poor performance measure
- The difference between LSMC and replicating portfolio in insurance liability modeling
- The mathematics of arbitrage
Cited in
(14)- The practice of portfolio replication. A practical overview of forward and inverse problems
- On the steady state of the replicating portfolio: accounting for a growth rate
- Replicating portfolio approach to capital calculation
- The value of a liability cash flow in discrete time subject to capital requirements
- Economic neutral position: how to best replicate not fully replicable liabilities?
- Fair valuation of universal life policies via a replicating portfolio
- Mathematical modelling and the construction of an optimal portfolio structure
- Replicating portfolios: \(\mathcal L^1\) versus \(\mathcal L^2\) optimization
- Replicating portfolios in life insurance. Mathematical foundation and analysis
- Nested Monte Carlo simulation in financial reporting: a review and a new hybrid approach
- scientific article; zbMATH DE number 5592322 (Why is no real title available?)
- Fair valuation of insurance liability cash-flow streams in continuous time: applications
- \texttt{openIRM}: publicly accessible internal risk model of an artificial life insurer for analyzing and benchmarking actuarial methods in the Solvency II setting
- Mathematical analysis of different approaches for replicating portfolios
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