An academic view on the illiquidity premium and market-consistent valuation in insurance

DOI10.1007/S13385-011-0005-5zbMATH Open1219.91075OpenAlexW1966582769MaRDI QIDQ635983FDOQ635983

Authors: Mario V. Wüthrich 

Publication date: 25 August 2011

Published in: European Actuarial Journal (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s13385-011-0005-5

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Mathematics Subject Classification ID

Cites Work

• An equilibrium characterization of the term structure
• Probability with Martingales
• Market-consistent actuarial valuation
• Market Consistent Pricing of Insurance Products

Cited In (3)

• Asset-liability management for long-term insurance business
• Long-term insurance products and volatility under the Solvency II framework
• The impact of illiquidity on the asset management of insurance companies

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