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Fair dynamic valuation of insurance liabilities: a loss averse convex hedging approach - MaRDI portal

Fair dynamic valuation of insurance liabilities: a loss averse convex hedging approach (Q5140651)

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scientific article; zbMATH DE number 7286471
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Fair dynamic valuation of insurance liabilities: a loss averse convex hedging approach
scientific article; zbMATH DE number 7286471

    Statements

    title
    Fair dynamic valuation of insurance liabilities: a loss averse convex hedging approach (English)
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    author
    Ze Chen
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    Bingzheng Chen
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    Jan Dhaene
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    publication date
    16 December 2020
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    zbMATH Keywords
    fair valuation
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    loss aversion
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    convex hedging
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    market-consistent valuation
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    safety margins
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    cites work
    Dynamic Risk Measures
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    Q3773148
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    Stochastic Finance
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    Q3523756
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    Identifiers

    zbMATH DE Number
    7286471
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    OpenAlex ID
    W3018280116
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