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From actuarial to financial valuation principles

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  • Schweizer, Martin

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  • Schweizer, Martin, 2001. "From actuarial to financial valuation principles," Insurance: Mathematics and Economics, Elsevier, vol. 28(1), pages 31-47, February.
    • Handle: RePEc:eee:insuma:v:28:y:2001:i:1:p:31-47
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    1. Erik Aurell & Karol Zyczkowski, 1996. "Option Pricing & Partial Hedging: Theory Of Polish Options," Finance 9601001, University Library of Munich, Germany.
    2. Martin Schweizer, 1995. "Variance-Optimal Hedging in Discrete Time," Mathematics of Operations Research, INFORMS, vol. 20(1), pages 1-32, February.
    3. Martin Schweizer & Christophe Stricker & Freddy Delbaen & Pascale Monat & Walter Schachermayer, 1997. "Weighted norm inequalities and hedging in incomplete markets," Finance and Stochastics, Springer, vol. 1(3), pages 181-227.
    4. Martin Schweizer, 1999. "Risky Options Simplified," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 2(01), pages 59-82.
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    Cited by:

    1. Ulrich Horst & Matthias Müller, 2007. "On the Spanning Property of Risk Bonds Priced by Equilibrium," Mathematics of Operations Research, INFORMS, vol. 32(4), pages 784-807, November.
    2. Dahl, Mikkel & Moller, Thomas, 2006. "Valuation and hedging of life insurance liabilities with systematic mortality risk," Insurance: Mathematics and Economics, Elsevier, vol. 39(2), pages 193-217, October.
    3. Becherer, Dirk, 2003. "Rational hedging and valuation of integrated risks under constant absolute risk aversion," Insurance: Mathematics and Economics, Elsevier, vol. 33(1), pages 1-28, August.
    4. Kevin Fergusson & Eckhard Platen, 2017. "Less-Expensive Valuation of Long Term Annuities Linked to Mortality, Cash and Equity," Papers 1711.02808, arXiv.org.
    5. Sun, Wan Gui & Wang, Chun Feng, 2006. "The mean-variance investment problem in a constrained financial market," Journal of Mathematical Economics, Elsevier, vol. 42(7-8), pages 885-895, November.
    6. Henryk Gzyl & Silvia Mayoral, 2006. "On a relationship between distorted and spectral risk measures," Faculty Working Papers 15/06, School of Economics and Business Administration, University of Navarra.
    7. Erhan Bayraktar & Virginia Young, 2008. "Pricing options in incomplete equity markets via the instantaneous Sharpe ratio," Annals of Finance, Springer, vol. 4(4), pages 399-429, October.
    8. Francesca Biagini & Jan Widenmann, 2012. "Pricing Of Unemployment Insurance Products With Doubly Stochastic Markov Chains," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 15(04), pages 1-32.
    9. Møller, T., 2002. "On Valuation and Risk Management at the Interface of Insurance and Finance," British Actuarial Journal, Cambridge University Press, vol. 8(4), pages 787-827, October.
    10. Nendel, Max & Riedel, Frank & Schmeck, Maren Diane, 2021. "A decomposition of general premium principles into risk and deviation," Insurance: Mathematics and Economics, Elsevier, vol. 100(C), pages 193-209.
    11. Moller, Thomas, 2003. "Indifference pricing of insurance contracts in a product space model: applications," Insurance: Mathematics and Economics, Elsevier, vol. 32(2), pages 295-315, April.
    12. Bayraktar, Erhan & Milevsky, Moshe A. & David Promislow, S. & Young, Virginia R., 2009. "Valuation of mortality risk via the instantaneous Sharpe ratio: Applications to life annuities," Journal of Economic Dynamics and Control, Elsevier, vol. 33(3), pages 676-691, March.
    13. Fischer, Tom, 2007. "A law of large numbers approach to valuation in life insurance," Insurance: Mathematics and Economics, Elsevier, vol. 40(1), pages 35-57, January.
    14. Kunz, Andreas & Popp, Markus, 2021. "Economic Neutral Position: How to best replicate not fully replicable liabilities?," Insurance: Mathematics and Economics, Elsevier, vol. 96(C), pages 53-67.
    15. Moller, Thomas, 2001. "On transformations of actuarial valuation principles," Insurance: Mathematics and Economics, Elsevier, vol. 28(3), pages 281-303, June.
    16. Hampus Engsner & Kristoffer Lindensjö & Filip Lindskog, 2020. "The value of a liability cash flow in discrete time subject to capital requirements," Finance and Stochastics, Springer, vol. 24(1), pages 125-167, January.
    17. Kuhn, Christoph, 2002. "Pricing contingent claims in incomplete markets when the holder can choose among different payoffs," Insurance: Mathematics and Economics, Elsevier, vol. 31(2), pages 215-233, October.
    18. Eckhard Platen, 2009. "Real World Pricing of Long Term Contracts," Research Paper Series 262, Quantitative Finance Research Centre, University of Technology, Sydney.

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