Market-consistent actuarial valuation
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Publication:5893944
DOI10.1007/978-3-642-14852-1zbMath1203.91005OpenAlexW1573850968MaRDI QIDQ5893944
Mario V. Wüthrich, Hansjörg Furrer, Hans Bühlmann
Publication date: 17 November 2010
Published in: EAA Series (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/978-3-642-14852-1
life insurancenon-life insurancemarket-consistent valuationinsurance liabilitiesstochastic discounting
Research exposition (monographs, survey articles) pertaining to game theory, economics, and finance (91-02) Financial applications of other theories (91G80) Portfolio theory (91G10)
Related Items (14)
Market consistent valuations with financial imperfection ⋮ PROBABILITY OF SUFFICIENCY OF SOLVENCY II RESERVE RISK MARGINS: PRACTICAL APPROXIMATIONS ⋮ Optimal risk transfers in insurance groups ⋮ Fair valuation of insurance liabilities: merging actuarial judgement and market-consistency ⋮ Optimal reinsurance with expectile ⋮ Optimal insurance design under Vajda condition and exclusion clauses ⋮ Applications of Statistics in the Field of General Insurance: An Overview ⋮ Insurance risk capital for the Sparre Andersen model with geometric Lévy stochastic returns ⋮ Modeling and pricing cyber insurance. Idiosyncratic, systematic, and systemic risks ⋮ Long-term insurance products and volatility under the Solvency II framework ⋮ An academic view on the illiquidity premium and market-consistent valuation in insurance ⋮ Optimal reinsurance subject to Vajda condition ⋮ FUNDAMENTAL DEFINITION OF THE SOLVENCY CAPITAL REQUIREMENT IN SOLVENCY II ⋮ Regulatory arbitrage of risk measures
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