MARKET VALUE MARGIN VIA MEAN–VARIANCE HEDGING

DOI10.1017/asb.2013.18zbMath1282.91311OpenAlexW3124838202MaRDI QIDQ5398353

Andreas Tsanakas, Mario V. Wüthrich, Aleš Černý

Publication date: 27 February 2014

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

Full work available at URL: https://doi.org/10.1017/asb.2013.18

zbMATH Keywords

mean-variance hedgingSolvency IImarket consistent valuationcost-of-capitalmarket value margin

Mathematics Subject Classification ID

Related Items (11)

Asset-liability management for long-term insurance business ⋮ INSURANCE VALUATION: A TWO-STEP GENERALISED REGRESSION APPROACH ⋮ Fair valuation of insurance liabilities: merging actuarial judgement and market-consistency ⋮ Affordable and adequate annuities with stable payouts: fantasy or reality? ⋮ Multiple-prior valuation of cash flows subject to capital requirements ⋮ Fair dynamic valuation of insurance liabilities: a loss averse convex hedging approach ⋮ Insurance valuation: a computable multi-period cost-of-capital approach ⋮ Fair valuation of insurance liabilities via mean-variance hedging in a multi-period setting ⋮ The value of a liability cash flow in discrete time subject to capital requirements ⋮ Fair dynamic valuation of insurance liabilities via convex hedging ⋮ Financial position and performance in IFRS 17

Cites Work

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• The pricing of liabilities in an incomplete market using dynamic mean-variance hedging
• On the structure of general mean-variance hedging strategies
• Mean-variance portfolio selection for a non-life insurance company
• Risk-Minimizing Hedging Strategies for Unit-Linked Life Insurance Contracts
• Pricing of Reinsurance Contracts in the Presence of Catastrophe Bonds
• HEDGING BY SEQUENTIAL REGRESSIONS REVISITED
• From actuarial to financial valuation principles
• Risk-minimizing hedging strategies for insurance payment processes

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