Extended reduced-form framework for non-life insurance

DOI10.1017/apr.2021.60zbMath1505.91321arXiv1802.07741OpenAlexW3126015154MaRDI QIDQ5055334

Publication date: 13 December 2022

Published in: Advances in Applied Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1802.07741

zbMATH Keywords

marked point process risk mitigation non-life insurance market-consistent valuation benchmark approach reduced-form framework filtration dependence

Mathematics Subject Classification ID

Applications of stochastic analysis (to PDEs, etc.) (60H30) Credit risk (91G40) Actuarial mathematics (91G05)

Cites Work

Unnamed Item
Unnamed Item
Unnamed Item
Unnamed Item
Risk-minimization for life insurance liabilities with basis risk
Quadratic hedging: an actuarial view extended to solvency control
Valuation and hedging of life insurance liabilities with systematic mortality risk
Non-life insurance mathematics. An introduction with the Poisson process
Best-estimate claims reserves in incomplete markets
Polynomial diffusion models for life insurance liabilities
Local risk-minimization under the benchmark approach
A benchmark approach to quantitative finance
Risk-Minimization for Life Insurance Liabilities
A QUADRATIC HEDGING APPROACH TO COMPARISON OF CATASTROPHE INDICES
M6—On Minimal Market Models and Minimal Martingale Measures
Risk minimization with inflation and interest rate risk: applications to non-life insurance
Risk-Minimizing Hedging Strategies for Unit-Linked Life Insurance Contracts
An Individual Claims Reserving Model
Pricing Death: Frameworks for the Valuation and Securitization of Mortality Risk
Prediction of Outstanding Liabilities II. Model Variations and Extensions
Multivariate point processes: predictable projection, Radon-Nikodym derivatives, representation of martingales
On the Sensitivity of Premiums and Reserves to Changes in Valuation Elements
An Introduction to the Theory of Point Processes
Local risk minimization and numéraire
HEDGING MORTALITY CLAIMS WITH LONGEVITY BONDS
Optimal investment strategy for a non-life insurance company: quadratic loss
Evaluating Hybrid Products: The Interplay Between Financial and Insurance Markets
Market-consistent actuarial valuation
Credit risk: Modelling, valuation and hedging
Risk-minimizing hedging strategies for insurance payment processes

This page was built for publication: Extended reduced-form framework for non-life insurance