Multiple-prior valuation of cash flows subject to capital requirements

DOI10.1016/j.insmatheco.2023.02.007zbMath1520.91325arXiv2109.00306OpenAlexW3197231233MaRDI QIDQ6171944

Hampus Engsner, Filip Lindskog, Julie Thøgersen

Publication date: 18 July 2023

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2109.00306

zbMATH Keywords

optimal stoppinglimited liabilitycapital requirementsmarket-consistent valuationinsurance valuation

Mathematics Subject Classification ID

Stopping times; optimal stopping problems; gambling theory (60G40) Actuarial mathematics (91G05)

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