Fair dynamic valuation of insurance liabilities via convex hedging

DOI10.1016/j.insmatheco.2021.01.001zbMath1466.91252OpenAlexW3122717786MaRDI QIDQ2034141

Ze Chen, Bingzheng Chen, Jan Dhaene, Tianyu Yang

Publication date: 21 June 2021

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

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2021.01.001

zbMATH Keywords

time-consistencymarket-consistent valuationconvex hedgingfair dynamic valuationmodel-consistent valuation

Mathematics Subject Classification ID

Actuarial mathematics (91G05)

Related Items (3)

Actuarial-consistency and two-step actuarial valuations: a new paradigm to insurance valuation ⋮ A tail measure with variable risk tolerance: application in dynamic portfolio insurance strategy ⋮ The 3-step hedge-based valuation: fair valuation in the presence of systematic risks

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