From the equivalence principle to market consistent valuation

DOI10.1365/S13291-011-0022-YzbMATH Open1237.91130OpenAlexW1989801186MaRDI QIDQ642091FDOQ642091

Stefan Weber, Thomas Knispel, Gerhard Stahl

Publication date: 25 October 2011

Published in: Jahresbericht der Deutschen Mathematiker-Vereinigung (DMV) (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1365/s13291-011-0022-y

Recommendations

• Market-consistent actuarial valuation
• Market-Consistent Actuarial Valuation
• scientific article; zbMATH DE number 5151672
• Market Consistent Pricing of Insurance Products
• scientific article; zbMATH DE number 1865403

zbMATH Keywords

risk measuresactuarial equivalence principlefundamental theorems of asset pricingmarket consistent valuation

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Financial applications of other theories (91G80)

Cited In (7)

• TIME‐CONSISTENT AND MARKET‐CONSISTENT EVALUATIONS
• Asset-liability management for long-term insurance business
• Modeling and pricing cyber insurance. Idiosyncratic, systematic, and systemic risks
• Market Consistent Pricing of Insurance Products
• Fair valuation of insurance liabilities: merging actuarial judgement and market-consistency
• A market interpretation of the proportional extended core
• From actuarial to financial valuation principles

This page was built for publication: From the equivalence principle to market consistent valuation

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q642091)