Mathematical analysis of different approaches for replicating portfolios
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Publication:906588
DOI10.1007/s13385-014-0094-zzbMath1329.91071OpenAlexW2012774501MaRDI QIDQ906588
Publication date: 22 January 2016
Published in: European Actuarial Journal (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s13385-014-0094-z
life insurancemarket consistent valuationcash flow matchingreplicating portfolioterminal value matching
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Related Items (10)
A Large-Scale Optimization Model for Replicating Portfolios in the Life Insurance Industry ⋮ Machine learning with kernels for portfolio valuation and risk management ⋮ Asset-liability management for long-term insurance business ⋮ Economic neutral position: how to best replicate not fully replicable liabilities? ⋮ Mathematical foundation of the replicating portfolio approach ⋮ Replicating portfolio approach to capital calculation ⋮ The value of a liability cash flow in discrete time subject to capital requirements ⋮ Application of Bayesian penalized spline regression for internal modeling in life insurance ⋮ Best-estimate claims reserves in incomplete markets ⋮ The difference between LSMC and replicating portfolio in insurance liability modeling
Cites Work
- The Pricing of Options and Corporate Liabilities
- Pricing and hedging guaranteed annuity options via static option replication.
- On value preserving and growth optimal portfolios
- Fair valuation of life insurance liabilities: The impact of interest rate guarantees, surrender options, and bonus policies
- Stochastic Finance
- On the Risk-Neutral Valuation of Life Insurance Contracts with Numerical Methods in View
- Valuing American Options by Simulation: A Simple Least-Squares Approach
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