Multiperiod insurance supervision: top-down models

DOI10.1007/S13385-011-0003-7MaRDI QIDQ635984zbMATH OpenOpenAlexFDO

Authors Karl-Theodor Eisele, Philippe Artzner

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/s13385-011-0003-7

zbMATH Keywords

time consistencycost of capitalrisk marginoptimal replicating portfolioown fundsregulated marketsolvency capital requirement

Mathematics Subject Classification ID

Recommendations

• Supervisory insurance accounting mathematics for provision -- and solvency capital -- requirement
• Insurance solvency risk analytics: cost-of-capital and prospective liability approach
• Insurance valuation: a computable multi-period cost-of-capital approach
• Market-consistent valuation of insurance liabilities by cost of capital
• Capital allocation and RORAC optimization under Solvency 2 standard formula

Cites work

• scientific article; zbMATH DE number 3373117 (Why is no real title available?)
• Coherent measures of risk
• Multiperiod insurance supervision: top-down models
• Subgame-perfect equilibria of finite- and infinite-horizon games
• Supervisory insurance accounting mathematics for provision -- and solvency capital -- requirement

Cited in

(8)

• Asymptotically stable dynamic risk assessments
• Multiperiod insurance supervision: top-down models
• Weak topologies for modules over rings of bounded random variables
• Best-estimate claims reserves in incomplete markets
• Wealth transfers, indifference pricing, and XVA compression schemes
• Insurance-finance arbitrage
• On the regulator-insurer interaction in a structural model
• Supervisory insurance accounting mathematics for provision -- and solvency capital -- requirement

This page was built for publication: Multiperiod insurance supervision: top-down models

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q635984)