Fair dynamic valuation of insurance liabilities: a loss averse convex hedging approach
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Publication:5140651
DOI10.1080/03461238.2020.1750469zbMath1454.91174OpenAlexW3018280116MaRDI QIDQ5140651
Bingzheng Chen, Jan Dhaene, Ze Chen
Publication date: 16 December 2020
Published in: Scandinavian Actuarial Journal (Search for Journal in Brave)
Full work available at URL: https://lirias.kuleuven.be/handle/123456789/665495
Related Items (6)
A tail measure with variable risk tolerance: application in dynamic portfolio insurance strategy ⋮ INSURANCE VALUATION: A TWO-STEP GENERALISED REGRESSION APPROACH ⋮ A market- and time-consistent extension for the EIOPA risk-margin ⋮ Fair dynamic valuation of insurance liabilities via convex hedging ⋮ Time-consistent longevity hedging with long-range dependence ⋮ Time-consistent and market-consistent actuarial valuation of the participating pension contract
Uses Software
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