From the equivalence principle to market consistent valuation

DOI10.1365/S13291-011-0022-YMaRDI QIDQ642091zbMATHOpenAlexFDO

Authors Thomas Knispel, Gerhard Stahl, Stefan Weber

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

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)

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

Cited in

(7)

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

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)