FAIR VALUATION OF INSURANCE LIABILITY CASH-FLOW STREAMS IN CONTINUOUS TIME: APPLICATIONS

DOI10.1017/asb.2019.8zbMath1410.91262OpenAlexW2938277484WikidataQ128060614 ScholiaQ128060614MaRDI QIDQ5379410

Karim Barigou, Łukasz Delong, Jan Dhaene

Publication date: 29 May 2019

Published in: ASTIN Bulletin (Search for Journal in Brave)

Full work available at URL: https://semanticscholar.org/paper/9653b5398a699a210d7708fe04201677c4d6be7c

zbMATH Keywords

partial differential equationbest estimaterisk marginactuarial valuationmarket-consistent valuationnet asset valueoptimal quadratic hedging

Mathematics Subject Classification ID

Related Items (13)

INSURANCE VALUATION: A TWO-STEP GENERALISED REGRESSION APPROACH ⋮ Socio-economic differentiation in experienced mortality modelling and its pricing implications ⋮ The 3-step hedge-based valuation: fair valuation in the presence of systematic risks ⋮ A market- and time-consistent extension for the EIOPA risk-margin ⋮ A synthetic model for asset-liability management in life insurance, and analysis of the SCR with the standard formula ⋮ VALUATION OF HYBRID FINANCIAL AND ACTUARIAL PRODUCTS IN LIFE INSURANCE BY A NOVEL THREE-STEP METHOD ⋮ Fair valuation of insurance liability cash-flow streams in continuous time: theory ⋮ Fair dynamic valuation of insurance liabilities via convex hedging ⋮ Revisiting optimal investment strategies of value-maximizing insurance firms ⋮ Time-consistent equilibrium reinsurance-investment strategy for \(n\) competitive insurers under a new interaction mechanism and a general investment framework ⋮ Pricing equity-linked life insurance contracts with multiple risk factors by neural networks ⋮ Financial position and performance in IFRS 17 ⋮ Time-consistent and market-consistent actuarial valuation of the participating pension contract

Cites Work

• Backward stochastic differential equations with jumps and their actuarial and financial applications. BSDEs with jumps
• Insurance valuation: a computable multi-period cost-of-capital approach
• Extending dynamic convex risk measures from discrete time to continuous time: a convergence approach
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• Fair dynamic valuation of insurance liabilities: merging actuarial judgement with market- and time-consistency
• Fair valuation of insurance liability cash-flow streams in continuous time: theory
• The value of a liability cash flow in discrete time subject to capital requirements
• Best-estimate claims reserves in incomplete markets
• Fair valuation of insurance liabilities: merging actuarial judgement and market-consistency
• Market-Consistent Valuation of Insurance Liabilities by Cost of Capital
• Continuous Monitoring: Does Credit Risk Vanish?
• Mathematical foundation of the replicating portfolio approach
• TIME‐CONSISTENT AND MARKET‐CONSISTENT EVALUATIONS
• Fair valuation of insurance liabilities via mean-variance hedging in a multi-period setting

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