Fair dynamic valuation of insurance liabilities: Merging actuarial judgement with market- and time-consistency

In this paper, we investigate the fair valuation of insurance liabilities in a dynamic multi-period setting. We define a fair dynamic valuation as a valuation which is actuarial (mark-to-model for claims independent of financial market evolutions), market-consistent (mark-to-market for any hedgeable...

Ausführliche Beschreibung

Gespeichert in:
Bibliographische Detailangaben
Veröffentlicht in:Insurance, mathematics & economics mathematics & economics, 2019-09, Vol.88, p.19-29
Hauptverfasser: Barigou, Karim, Chen, Ze, Dhaene, Jan
Format: Artikel
Sprache:eng
Schlagworte:
Online-Zugang:Volltext
Tags: Tag hinzufügen
Keine Tags, Fügen Sie den ersten Tag hinzu!