Fair valuation of insurance liabilities via mean-variance hedging in a multi-period setting
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Publication:5743536
DOI10.1080/03461238.2018.1528477zbMath1411.91264OpenAlexW2895584103WikidataQ129151113 ScholiaQ129151113MaRDI QIDQ5743536
Publication date: 10 May 2019
Published in: Scandinavian Actuarial Journal (Search for Journal in Brave)
Full work available at URL: https://lirias.kuleuven.be/handle/123456789/628130
mean-variance hedgingactuarial valuationmarket-consistent valuationsolvency IIfair valuation of insurance liabilities
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Related Items (15)
Actuarial-consistency and two-step actuarial valuations: a new paradigm to insurance valuation ⋮ Intergenerational sharing of unhedgeable inflation risk ⋮ Multiple-prior valuation of cash flows subject to capital requirements ⋮ 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 ⋮ FAIR VALUATION OF INSURANCE LIABILITY CASH-FLOW STREAMS IN CONTINUOUS TIME: APPLICATIONS ⋮ VALUATION OF HYBRID FINANCIAL AND ACTUARIAL PRODUCTS IN LIFE INSURANCE BY A NOVEL THREE-STEP METHOD ⋮ Fair dynamic valuation of insurance liabilities: a loss averse convex hedging approach ⋮ 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 ⋮ Fair dynamic valuation of insurance liabilities via convex hedging ⋮ Unhedgeable inflation risk within pension schemes ⋮ 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
- Financial modeling, actuarial valuation and solvency in insurance
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- The difference between LSMC and replicating portfolio in insurance liability modeling
- On the structure of general mean-variance hedging strategies
- Fair valuation of insurance liabilities: merging actuarial judgement and market-consistency
- Discrete-time local risk minimization of payment processes and applications to equity-linked life-insurance contracts
- The mathematics of arbitrage
- Market-Consistent Valuation of Insurance Liabilities by Cost of Capital
- Cost-of-Capital Margin for a General Insurance Liability Runoff
- Market Consistent Pricing of Insurance Products
- HEDGING BY SEQUENTIAL REGRESSIONS REVISITED
- Partial Hedging for Equity-Linked Products Using Risk-Minimizing Strategies
- MARKET VALUE MARGIN VIA MEAN–VARIANCE HEDGING
- TIME‐CONSISTENT AND MARKET‐CONSISTENT EVALUATIONS
- Option pricing: A simplified approach
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