Multiperiod insurance supervision: top-down models

DOI10.1007/s13385-011-0003-7zbMath1229.91159OpenAlexW3122978771MaRDI QIDQ635984

Karl-Theodor Eisele, Philippe Artzner

Publication date: 25 August 2011

Published in: European Actuarial Journal (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s13385-011-0003-7

zbMATH Keywords

time consistencycost of capitalrisk marginoptimal replicating portfolioown fundsregulated marketsolvency capital requirement

Mathematics Subject Classification ID

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Cites Work

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• Multiperiod insurance supervision: top-down models
• Coherent Measures of Risk
• Supervisory Insurance Accounting: Mathematics for Provision – and Solvency Capital – Requirements

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