Fair dynamic valuation of insurance liabilities: merging actuarial judgement with market- and time-consistency

DOI10.1016/j.insmatheco.2019.05.003zbMath1425.91212OpenAlexW2947233964WikidataQ127819910 ScholiaQ127819910MaRDI QIDQ2273972

Jan Dhaene, Ze Chen, Karim Barigou

Publication date: 19 September 2019

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

Full work available at URL: https://lirias.kuleuven.be/handle/123456789/638017

zbMATH Keywords

time-consistencySolvency IIactuarial valuationmarket-consistent valuationfair dynamic valuation

Mathematics Subject Classification ID

Related Items (12)

Actuarial-consistency and two-step actuarial valuations: a new paradigm to insurance valuation ⋮ INSURANCE VALUATION: A TWO-STEP GENERALISED REGRESSION APPROACH ⋮ Multiple-prior valuation of cash flows subject to capital requirements ⋮ The 3-step hedge-based valuation: fair valuation in the presence of systematic risks ⋮ A market- and time-consistent extension for the EIOPA risk-margin ⋮ FAIR VALUATION OF INSURANCE LIABILITY CASH-FLOW STREAMS IN CONTINUOUS TIME: APPLICATIONS ⋮ Fair dynamic valuation of insurance liabilities: a loss averse convex hedging approach ⋮ Fair valuation of insurance liability cash-flow streams in continuous time: theory ⋮ Fair dynamic valuation of insurance liabilities via convex hedging ⋮ Revisiting optimal investment strategies of value-maximizing insurance firms ⋮ Pricing equity-linked life insurance contracts with multiple risk factors by neural networks ⋮ Time-consistent and market-consistent actuarial valuation of the participating pension contract

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