Market Consistent Pricing of Insurance Products

DOI10.2143/AST.38.2.2033351zbMath1256.91018OpenAlexW3121638715MaRDI QIDQ3634589

Mario V. Wüthrich, Semyon Malamud, Eugene Trubowitz

Publication date: 25 June 2009

Published in: ASTIN Bulletin (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.2143/ast.38.2.2033351

zbMATH Keywords

equilibrium theory of asset and liability pricingpricing of insurance products in multiperiod financial market

Mathematics Subject Classification ID

Related Items (18)

Indifference pricing for CRRA utilities ⋮ Fair valuation of insurance liabilities: merging actuarial judgement and market-consistency ⋮ 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 ⋮ An academic view on the illiquidity premium and market-consistent valuation in insurance ⋮ Market inconsistencies of market-consistent European life insurance economic valuations: pitfalls and practical solutions ⋮ VALUATION OF HYBRID FINANCIAL AND ACTUARIAL PRODUCTS IN LIFE INSURANCE BY A NOVEL THREE-STEP METHOD ⋮ Fair dynamic valuation of insurance liabilities: a loss averse convex hedging approach ⋮ TIME‐CONSISTENT AND MARKET‐CONSISTENT EVALUATIONS ⋮ Fair valuation of insurance liabilities via mean-variance hedging in a multi-period setting ⋮ Fair dynamic valuation of insurance liabilities: merging actuarial judgement with market- and time-consistency ⋮ Fair valuation of insurance liability cash-flow streams in continuous time: theory ⋮ The value of a liability cash flow in discrete time subject to capital requirements ⋮ Fair dynamic valuation of insurance liabilities via convex hedging ⋮ Law-invariant functionals that collapse to the mean ⋮ Time-consistent and market-consistent actuarial valuation of the participating pension contract ⋮ Best-estimate claims reserves in incomplete markets

Cites Work

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• A valuation algorithm for indifference prices in incomplete markets
• Markovian term structure models in discrete time
• An example of indifference prices under exponential preferences
• Estimating the Value of the Wincat Coupons of the Winterthur Insurance Convertible Bond: A Study of the Model Risk
• On Esscher Transforms in Discrete Finance Models
• VALUATION OF CLAIMS ON NONTRADED ASSETS USING UTILITY MAXIMIZATION
• Exponential Hedging and Entropic Penalties
• Market-Consistent Actuarial Valuation

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