Market inconsistencies of market-consistent European life insurance economic valuations: pitfalls and practical solutions
type: Item
instance of: scholarly article
title: Market inconsistencies of market-consistent European life insurance economic valuations: pitfalls and practical solutions
zbMATH Open document ID: 1394.91233
author: Julien Vedani
author: Nicole El Karoui
author: Stéphane Loisel
author: J. L. Prigent
published in: European Actuarial Journal
publication date: 2018-04-03T00:00:00Z
Mathematics Subject Classification ID: 91B30
Mathematics Subject Classification ID: 62P05
zbMATH DE Number: 6855296
zbMATH Keywords: risk-neutral valuation
zbMATH Keywords: economic valuation
zbMATH Keywords: market-consistency
zbMATH Keywords: European regulation
zbMATH Keywords: life insurance
MaRDI profile type: Publication
full work available at URL: s13385-016-0141-z
OpenAlex ID: W2596362284
cites work: The pricing of options and corporate liabilities
cites work: Best estimate calculations of savings contracts by closed formulas: application to the ORSA
cites work: Interest rate models -- theory and practice. With smile, inflation and credit
cites work: An arbitrage‐free generalized Nelson–Siegel term structure model
cites work: The affine arbitrage-free class of Nelson-Siegel term structure models
cites work: Q4433608
cites work: Arbitrage and equilibrium in economies with infinitely many commodities
cites work: Handbook of Monte Carlo Methods
cites work: Market Consistent Pricing of Insurance Products
cites work: Q4905685
cites work: Market-consistent valuation of insurance liabilities by cost of capital
cites work: Ambiguity aversion and incompleteness of financial markets.
cites work: Market-Consistent Actuarial Valuation
DOI: 10.1007/S13385-016-0141-Z
description: scientific article; zbMATH DE number 6855296