Risk margin for a non-life insurance run-off
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DOI: 10.1524/strm.2011.1096
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References listed on IDEAS
- Salzmann, Robert & Wüthrich, Mario V., 2010. "Cost-of-Capital Margin for a General Insurance Liability Runoff," ASTIN Bulletin, Cambridge University Press, vol. 40(2), pages 415-451, November.
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- Denuit Michel & Dhaene Jan & Goovaerts Marc & Kaas Rob & Laeven Roger, 2006. "Risk measurement with equivalent utility principles," Statistics & Risk Modeling, De Gruyter, vol. 24(1), pages 1-25, July.
- Bühlmann, Hans & Delbaen, Freddy & Embrechts, Paul & Shiryaev, Albert N., 1998. "On Esscher Transforms in Discrete Finance Models," ASTIN Bulletin, Cambridge University Press, vol. 28(2), pages 171-186, November.
- Denuit Michel & Dhaene Jan & Goovaerts Marc & Kaas Rob & Laeven Roger, 2006.
"Risk measurement with equivalent utility principles,"
Statistics & Risk Modeling, De Gruyter, vol. 24(1), pages 1-25, July.
- Denuit Michel & Dhaene Jan & Goovaerts Marc & Kaas Rob & Laeven Roger, 2006. "Risk measurement with equivalent utility principles," Statistics & Risk Modeling, De Gruyter, vol. 24(1/2006), pages 1-25, July.
- Tsanakas, Andreas & Christofides, Nicos, 2006. "Risk Exchange with Distorted Probabilities," ASTIN Bulletin, Cambridge University Press, vol. 36(1), pages 219-243, May.
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Cited by:
- Robert, Christian Y., 2013. "Market Value Margin calculations under the Cost of Capital approach within a Bayesian chain ladder framework," Insurance: Mathematics and Economics, Elsevier, vol. 53(1), pages 216-229.
- Engsner, Hampus & Lindholm, Mathias & Lindskog, Filip, 2017. "Insurance valuation: A computable multi-period cost-of-capital approach," Insurance: Mathematics and Economics, Elsevier, vol. 72(C), pages 250-264.
- Mathias Lindholm & Filip Lindskog & Felix Wahl, 2017. "Valuation of Non-Life Liabilities from Claims Triangles," Risks, MDPI, vol. 5(3), pages 1-28, July.
- Hampus Engsner & Mathias Lindholm & Filip Lindskog, 2016. "Insurance valuation: a computable multi-period cost-of-capital approach," Papers 1607.04100, arXiv.org.
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