From actuarial to financial valuation principles
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Publication:5938026
DOI10.1016/S0167-6687(00)00064-0zbMath1017.91031WikidataQ126781723 ScholiaQ126781723MaRDI QIDQ5938026
Publication date: 26 August 2003
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
Related Items
PRICING OF UNEMPLOYMENT INSURANCE PRODUCTS WITH DOUBLY STOCHASTIC MARKOV CHAINS ⋮ Valuation and hedging of life insurance liabilities with systematic mortality risk ⋮ The mean-variance investment problem in a constrained financial market ⋮ Hedging with a correlated asset: Solution of a nonlinear pricing PDE ⋮ A law of large numbers approach to valuation in life insurance ⋮ Economic neutral position: how to best replicate not fully replicable liabilities? ⋮ Quadratic hedging: an actuarial view extended to solvency control ⋮ Simplified mean-variance portfolio optimisation ⋮ On transformations of actuarial valuation principles. ⋮ Rational hedging and valuation of integrated risks under constant absolute risk aversion. ⋮ Pricing contingent claims in incomplete markets when the holder can choose among different payoffs. ⋮ Indifference pricing of insurance contracts in a product space model: Applications ⋮ Pricing options in incomplete equity markets via the instantaneous Sharpe ratio ⋮ MARKET VALUE MARGIN VIA MEAN–VARIANCE HEDGING ⋮ A decomposition of general premium principles into risk and deviation ⋮ Martingale Valuation of Cash Flows for Insurance and Interest Models ⋮ Optimal Design of a Perpetual Equity-Indexed Annuity ⋮ Evaluating Hybrid Products: The Interplay Between Financial and Insurance Markets ⋮ Valuation of mortality risk via the instantaneous Sharpe ratio: applications to life annuities ⋮ The value of a liability cash flow in discrete time subject to capital requirements ⋮ Indifference pricing of a life insurance portfolio with systematic mortality risk in a market with an asset driven by a Lévy process ⋮ Protection of a Company Issuing a Certain Class of Participating Policies in a Complete Market Framework
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