Market-consistent actuarial valuation
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Publication:5890862
DOI10.1007/978-3-319-46636-1zbMath1352.91001OpenAlexW4297630969MaRDI QIDQ5890862
Publication date: 29 September 2016
Published in: EAA Series (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/978-3-319-46636-1
Portfolio theory (91G10) Introductory exposition (textbooks, tutorial papers, etc.) pertaining to game theory, economics, and finance (91-01)
Related Items (8)
Actuarial-consistency and two-step actuarial valuations: a new paradigm to insurance valuation ⋮ ESTIMATION OF FUTURE DISCRETIONARY BENEFITS IN TRADITIONAL LIFE INSURANCE ⋮ Extended reduced-form framework for non-life insurance ⋮ INSURANCE VALUATION: A TWO-STEP GENERALISED REGRESSION APPROACH ⋮ Modelling net carrying amount of shares for market consistent valuation of life insurance liabilities ⋮ The 3-step hedge-based valuation: fair valuation in the presence of systematic risks ⋮ PRICING LONGEVITY-LINKED SECURITIES IN THE PRESENCE OF MORTALITY TREND CHANGES ⋮ Fair dynamic valuation of insurance liabilities: merging actuarial judgement with market- and time-consistency
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