The value of a liability cash flow in discrete time subject to capital requirements
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Publication:2282964
DOI10.1007/S00780-019-00408-0zbMath1429.91277arXiv1808.03328OpenAlexW2976911912WikidataQ127199098 ScholiaQ127199098MaRDI QIDQ2282964
Hampus Engsner, Filip Lindskog, Kristoffer Lindensjö
Publication date: 27 December 2019
Published in: Finance and Stochastics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1808.03328
Stopping times; optimal stopping problems; gambling theory (60G40) Corporate finance (dividends, real options, etc.) (91G50) Portfolio theory (91G10) Actuarial mathematics (91G05)
Related Items (5)
INSURANCE VALUATION: A TWO-STEP GENERALISED REGRESSION APPROACH ⋮ Multiple-prior valuation of cash flows subject to capital requirements ⋮ FAIR VALUATION OF INSURANCE LIABILITY CASH-FLOW STREAMS IN CONTINUOUS TIME: APPLICATIONS ⋮ VALUATION OF HYBRID FINANCIAL AND ACTUARIAL PRODUCTS IN LIFE INSURANCE BY A NOVEL THREE-STEP METHOD ⋮ Financial position and performance in IFRS 17
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