A market- and time-consistent extension for the EIOPA risk-margin
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Recommendations
- Time-consistent and market-consistent actuarial valuation of the participating pension contract
- TIME‐CONSISTENT AND MARKET‐CONSISTENT EVALUATIONS
- Time-consistent actuarial valuations
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- Market-consistent valuation of insurance liabilities by cost of capital
Cites work
- A general version of the fundamental theorem of asset pricing
- A valuation algorithm for indifference prices in incomplete markets
- Actuarial risk measures for financial derivative pricing
- Ambiguity Aversion, Robustness, and the Variational Representation of Preferences
- Coherent and convex monetary risk measures for unbounded càdlàg processes.
- Coherent multiperiod risk adjusted values and Bellman's principle
- Convex duality in constrained portfolio optimization
- Convex risk measures and the dynamics of their penalty functions
- Dynamic risk measures
- 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 liabilities via mean-variance hedging in a multi-period setting
- Fair valuation of insurance liabilities: merging actuarial judgement and market-consistency
- Fair valuation of insurance liability cash-flow streams in continuous time: applications
- Fair valuation of insurance liability cash-flow streams in continuous time: theory
- Filtration consistent nonlinear expectations and evaluations of contingent claims
- Market Consistent Pricing of Insurance Products
- Market consistent valuations with financial imperfection
- Modeling and forecasting U.S. mortality. (With discussion)
- On the minimal martingale measure and the möllmer-schweizer decomposition
- Pricing, hedging, and designing derivatives with risk measures
- Risk measures via g-expectations
- The asymptotic elasticity of utility functions and optimal investment in incomplete markets
- The concept of comonotonicity in actuarial science and finance: theory.
- The variance-optimal martingale measure for continuous processes
- Time consistent dynamic risk processes
- Time-consistent actuarial valuations
- Time-consistent and market-consistent actuarial valuation of the participating pension contract
- TIME‐CONSISTENT AND MARKET‐CONSISTENT EVALUATIONS
- Valuation of hybrid financial and actuarial products in life insurance by a novel three-step method
- Valuation of the early-exercise price for options using simulations and nonparametric regression
- VALUATIONS AND DYNAMIC CONVEX RISK MEASURES
- Valuing American options by simulation: a simple least-squares approach
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