Insurance valuation: a computable multi-period cost-of-capital approach

DOI10.1016/j.insmatheco.2016.12.002zbMath1394.91212arXiv1607.04100OpenAlexW2488107878MaRDI QIDQ506100

Filip Lindskog, Mathias Lindholm, Hampus Engsner

Publication date: 31 January 2017

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1607.04100

zbMATH Keywords

cost of capitalrisk marginmarket-consistent valuationdynamic risk measurementmulti-period valuationvaluation of insurance liabilities

Mathematics Subject Classification ID

Related Items

Asset-liability management for long-term insurance business ⋮ ESTIMATION OF FUTURE DISCRETIONARY BENEFITS IN TRADITIONAL LIFE INSURANCE ⋮ INSURANCE VALUATION: A TWO-STEP GENERALISED REGRESSION APPROACH ⋮ Multiple-prior valuation of cash flows subject to capital requirements ⋮ FAIR VALUATION OF INSURANCE LIABILITY CASH-FLOW STREAMS IN CONTINUOUS TIME: APPLICATIONS ⋮ Multilevel Monte Carlo for computing the SCR with the standard formula and other stress tests ⋮ The value of a liability cash flow in discrete time subject to capital requirements ⋮ Continuous-time limits of multi-period cost-of-capital margins ⋮ Financial position and performance in IFRS 17

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