VALUATION OF HYBRID FINANCIAL AND ACTUARIAL PRODUCTS IN LIFE INSURANCE BY A NOVEL THREE-STEP METHOD
From MaRDI portal
Publication:5140077
DOI10.1017/asb.2020.25zbMath1454.91177OpenAlexW3121667554MaRDI QIDQ5140077
Kossi Gnameho, Pierre Devolder, Peter Hieber, Griselda Deelstra
Publication date: 13 December 2020
Published in: ASTIN Bulletin (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1017/asb.2020.25
Related Items (7)
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 ⋮ Time-consistent and market-consistent actuarial valuation of the participating pension contract ⋮ Optimal decision of dynamic wealth allocation with life insurance for mitigating health risk under market incompleteness
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Delta-gamma hedging of mortality and interest rate risk
- Valuation and hedging of life insurance liabilities with systematic mortality risk
- Time-consistent actuarial valuations
- Esscher transform and the duality principle for multidimensional semimartingales
- Securitization of catastrophe mortality risks
- Actuarial bridges to dynamic hedging and option pricing
- Market consistent valuations with financial imperfection
- A unisex stochastic mortality model to comply with EU Gender Directive
- Multivariate FX models with jumps: triangles, quantos and implied correlation
- Jensen's inequality for a convex vector-valued function on an infinite-dimensional space
- 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 valuation of insurance liabilities: merging actuarial judgement and market-consistency
- Market-Consistent Valuation of Insurance Liabilities by Cost of Capital
- A Multivariate Extension of Equilibrium Pricing Transforms: The Multivariate Esscher and Wang Transforms for Pricing Financial and Insurance Risks
- Market Consistent Pricing of Insurance Products
- TONUITY: A NOVEL INDIVIDUAL-ORIENTED RETIREMENT PLAN
- Financial Modelling with Jump Processes
- FAIR VALUATION OF INSURANCE LIABILITY CASH-FLOW STREAMS IN CONTINUOUS TIME: APPLICATIONS
- THE PRICING OF MORTALITY-LINKED CONTINGENT CLAIMS: AN EQUILIBRIUM APPROACH
- TIME‐CONSISTENT AND MARKET‐CONSISTENT EVALUATIONS
- Fair valuation of insurance liabilities via mean-variance hedging in a multi-period setting
This page was built for publication: VALUATION OF HYBRID FINANCIAL AND ACTUARIAL PRODUCTS IN LIFE INSURANCE BY A NOVEL THREE-STEP METHOD
