Time-consistent actuarial valuations

DOI10.1016/j.insmatheco.2015.10.010zbMath1348.91178arXiv1109.1751OpenAlexW3123607667MaRDI QIDQ903338

Antoon Pelsser, Ahmad Salahnejhad Ghalehjooghi

Publication date: 5 January 2016

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1109.1751

zbMATH Keywords

partial differential equationinfinitesimal generatorjump processbackward iterationactuarial valuationtime-consistent

Mathematics Subject Classification ID

Related Items (12)

Socio-economic differentiation in experienced mortality modelling and its pricing implications ⋮ Intergenerational risk sharing in closing pension funds ⋮ Fair valuation of insurance liabilities: merging actuarial judgement and market-consistency ⋮ Time-consistent evaluation of credit risk with contagion ⋮ Affordable and adequate annuities with stable payouts: fantasy or reality? ⋮ A market- and time-consistent extension for the EIOPA risk-margin ⋮ FAIR VALUATION OF INSURANCE LIABILITY CASH-FLOW STREAMS IN CONTINUOUS TIME: APPLICATIONS ⋮ VALUATION OF HYBRID FINANCIAL AND ACTUARIAL PRODUCTS IN LIFE INSURANCE BY A NOVEL THREE-STEP METHOD ⋮ Fair valuation of insurance liability cash-flow streams in continuous time: theory ⋮ Pricing and hedging in incomplete markets with model uncertainty ⋮ Continuous-time limits of multi-period cost-of-capital margins ⋮ Time-consistent and market-consistent actuarial valuation of the participating pension contract

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