Insurance valuation: A computable multi-period cost-of-capital approach
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DOI: 10.1016/j.insmatheco.2016.12.002
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Citations
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Cited by:
- Hampus Engsner, 2021. "Least Squares Monte Carlo applied to Dynamic Monetary Utility Functions," Papers 2101.10947, arXiv.org, revised Apr 2021.
- Engsner, Hampus & Lindskog, Filip & Thøgersen, Julie, 2023. "Multiple-prior valuation of cash flows subject to capital requirements," Insurance: Mathematics and Economics, Elsevier, vol. 111(C), pages 41-56.
- Mathias Lindholm & Filip Lindskog & Felix Wahl, 2017. "Valuation of Non-Life Liabilities from Claims Triangles," Risks, MDPI, vol. 5(3), pages 1-28, July.
- Alfonsi, Aurélien & Cherchali, Adel & Infante Acevedo, Jose Arturo, 2021. "Multilevel Monte-Carlo for computing the SCR with the standard formula and other stress tests," Insurance: Mathematics and Economics, Elsevier, vol. 100(C), pages 234-260.
- Hampus Engsner & Filip Lindskog & Julie Thoegersen, 2021. "Multiple-prior valuation of cash flows subject to capital requirements," Papers 2109.00306, arXiv.org.
- Nils Engler & Filip Lindskog, 2023. "Approximations of multi-period liability values by simple formulas," Papers 2301.09450, arXiv.org.
- Engsner Hampus & Lindskog Filip, 2020. "Continuous-time limits of multi-period cost-of-capital margins," Statistics & Risk Modeling, De Gruyter, vol. 37(3-4), pages 79-106, July.
- Florian Gach & Simon Hochgerner & Eva Kienbacher & Gabriel Schachinger, 2023. "Mean-field Libor market model and valuation of long term guarantees," Papers 2310.09022, arXiv.org, revised Mar 2025.
- Florian Gach & Simon Hochgerner & Eva Kienbacher & Gabriel Schachinger, 2025. "Mean-Field Libor Market Model and Valuation of Long Term Guarantees," Methodology and Computing in Applied Probability, Springer, vol. 27(2), pages 1-43, June.
- Christoph Moehr, 2023. "A framework for the valuation of insurance liabilities by production cost," Papers 2401.00263, arXiv.org, revised Jun 2025.
- Florian Gach & Simon Hochgerner, 2021. "Estimation of future discretionary benefits in traditional life insurance," Papers 2101.06077, arXiv.org, revised Jul 2022.
- Hampus Engsner & Kristoffer Lindensjo & Filip Lindskog, 2018. "The value of a liability cash flow in discrete time subject to capital requirements," Papers 1808.03328, arXiv.org.
- 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.
- Bauer, Daniel & Zanjani, George, 2021. "Economic capital and RAROC in a dynamic model," Journal of Banking & Finance, Elsevier, vol. 125(C).
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Keywords
; ; ; ; ; ;JEL classification:
- G22 - Financial Economics - - Financial Institutions and Services - - - Insurance; Insurance Companies; Actuarial Studies
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
- G28 - Financial Economics - - Financial Institutions and Services - - - Government Policy and Regulation
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