Modelling net carrying amount of shares for market consistent valuation of life insurance liabilities

DOI10.1007/S11009-019-09729-1zbMath1447.91135OpenAlexW2899274713WikidataQ127677317 ScholiaQ127677317MaRDI QIDQ2195954

Pierre-E. Thérond, Yahia Salhi, Diana Dorobantu

Publication date: 28 August 2020

Published in: Methodology and Computing in Applied Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11009-019-09729-1

zbMATH Keywords

insurancejoint densitycorrelated Brownian motionsbest estimate technical provisionimpairment losses

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70) Actuarial mathematics (91G05)

Related Items (1)

ESTIMATION OF FUTURE DISCRETIONARY BENEFITS IN TRADITIONAL LIFE INSURANCE

Cites Work

• Unnamed Item
• The Pricing of Options and Corporate Liabilities
• Market inconsistencies of market-consistent European life insurance economic valuations: pitfalls and practical solutions
• Weak approximation of killed diffusion using Euler schemes.
• A note on the distribution of multivariate Brownian extrema
• Double Lookbacks
• The scope of the image method
• Market-consistent actuarial valuation

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