From the equivalence principle to market consistent valuation

DOI10.1365/S13291-011-0022-YzbMath1237.91130OpenAlexW1989801186MaRDI QIDQ642091

Stefan Weber, Thomas Knispel, Gerhard Stahl

Publication date: 25 October 2011

Published in: Jahresbericht der Deutschen Mathematiker-Vereinigung (DMV) (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1365/s13291-011-0022-y

zbMATH Keywords

risk measuresactuarial equivalence principlefundamental theorems of asset pricingmarket consistent valuation

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Financial applications of other theories (91G80)

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Asset-liability management for long-term insurance business ⋮ Fair valuation of insurance liabilities: merging actuarial judgement and market-consistency ⋮ Modeling and pricing cyber insurance. Idiosyncratic, systematic, and systemic risks ⋮ TIME‐CONSISTENT AND MARKET‐CONSISTENT EVALUATIONS

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