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

DOI10.1007/S13385-011-0005-5MaRDI QIDQ635983zbMATH OpenOpenAlexFDO

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

Mathematics Subject Classification ID

Recommendations

• Market-consistent actuarial valuation
• Market-Consistent Actuarial Valuation
• On market value margins and cost of capital
• Actuarial-consistency and two-step actuarial valuations: a new paradigm to insurance valuation
• Market Value Of Insurance Liabilities

Cites work

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

Cited in

(3)

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

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