Time-consistent and market-consistent actuarial valuation of the participating pension contract
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Publication:5003351
DOI10.1080/03461238.2020.1832911zbMath1475.91315OpenAlexW3095786489MaRDI QIDQ5003351
Ahmad Salahnejhad Ghalehjooghi, Antoon Pelsser
Publication date: 21 July 2021
Published in: Scandinavian Actuarial Journal (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/03461238.2020.1832911
time-consistentprofit-sharingactuarial pricebackward-iterationhybrid payoffmarket-consistentparticipating pension contracttwo-step valuation
Related Items (4)
INSURANCE VALUATION: A TWO-STEP GENERALISED REGRESSION APPROACH ⋮ Socio-economic differentiation in experienced mortality modelling and its pricing implications ⋮ 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
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