On transformations of actuarial valuation principles.

DOI10.1016/S0167-6687(00)00074-3zbMath1074.62531WikidataQ126781711 ScholiaQ126781711MaRDI QIDQ1413264

Thomas Møller

Publication date: 16 November 2003

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

zbMATH Keywords

Indifference pricingStandard deviation principleUnit-linked insuranceVariance optimal martingale measureVariance principle

Mathematics Subject Classification ID

Related Items (8)

Valuation and hedging of life insurance liabilities with systematic mortality risk ⋮ Hedging with a correlated asset: Solution of a nonlinear pricing PDE ⋮ Economic neutral position: how to best replicate not fully replicable liabilities? ⋮ Simplified mean-variance portfolio optimisation ⋮ Rational hedging and valuation of integrated risks under constant absolute risk aversion. ⋮ Indifference pricing of insurance contracts in a product space model: Applications ⋮ Martingale Valuation of Cash Flows for Insurance and Interest Models ⋮ A continuous-time model for reinvestment risk in bond markets

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