Fair valuation of insurance liabilities via mean-variance hedging in a multi-period setting
A general class of fair valuations which are both market-consistent (mark-to-market for any hedgeable part of a claim) and actuarial (mark-to-model for any claim that is independent of financial market evolutions) was introduced in Dhaene et al. [Insurance: Mathematics & Economics, 76, 14-27 (20...
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| Veröffentlicht in: | Scandinavian Actuarial Journal 2019-01, Vol.2019 (2), p.163-187 |
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| Hauptverfasser: | , |
| Format: | Artikel |
| Sprache: | eng |
| Online-Zugang: | Volltext |
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