Mathematical foundation of the replicating portfolio approach

DOI10.1080/03461238.2017.1388273zbMath1416.91211OpenAlexW3123214393MaRDI QIDQ4583616

Ralf Werner, Jan Natolski

Publication date: 31 August 2018

Published in: Scandinavian Actuarial Journal (Search for Journal in Brave)

Full work available at URL: https://opus.bibliothek.uni-augsburg.de/opus4/frontdoor/index/index/docId/3713

zbMATH Keywords

risk capitalSolvency IIcash flow matchingreplicating portfolioterminal value matchinggain-loss ratioFTAPMCEV

Mathematics Subject Classification ID

Related Items

Replicating portfolio approach to capital calculation, FAIR VALUATION OF INSURANCE LIABILITY CASH-FLOW STREAMS IN CONTINUOUS TIME: APPLICATIONS, The value of a liability cash flow in discrete time subject to capital requirements, Nested Monte Carlo simulation in financial reporting: a review and a new hybrid approach

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