Continuous-time limits of multi-period cost-of-capital margins

DOI10.1515/strm-2019-0008zbMath1480.91304OpenAlexW3024018454MaRDI QIDQ2063033

Hampus Engsner, Filip Lindskog

Publication date: 10 January 2022

Published in: Statistics \& Risk Modeling (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1515/strm-2019-0008

zbMATH Keywords

continuous-time limitmulti-period valuationcost-of-capital margin

Mathematics Subject Classification ID

Corporate finance (dividends, real options, etc.) (91G50) Limit theorems for vector-valued random variables (infinite-dimensional case) (60B12)

Related Items

FAIR VALUATION OF INSURANCE LIABILITY CASH-FLOW STREAMS IN CONTINUOUS TIME: APPLICATIONS

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Stochastic finance. An introduction in discrete time.
• Insurance valuation: a computable multi-period cost-of-capital approach
• Extending dynamic convex risk measures from discrete time to continuous time: a convergence approach
• Dynamic monetary risk measures for bounded discrete-time processes
• Time-consistent actuarial valuations
• Seven proofs for the subadditivity of expected shortfall
• Higher-order implicit strong numerical schemes for stochastic differential equations
• On dynamic spectral risk measures, a limit theorem and optimal portfolio allocation
• Coherent multiperiod risk adjusted values and Bellman's principle
• Dynamic coherent risk measures
• Coherent and convex monetary risk measures for unbounded càdlàg processes.
• Risk measures via \(g\)-expectations
• Market-Consistent Valuation of Insurance Liabilities by Cost of Capital
• Convex risk measures and the dynamics of their penalty functions
• VALUATIONS AND DYNAMIC CONVEX RISK MEASURES
• Dynamic Risk Measures
• COHERENT ACCEPTABILITY MEASURES IN MULTIPERIOD MODELS