Practical and theoretical aspects of market-consistent valuation and hedging of insurance liabilities
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References listed on IDEAS
- Blanchet-Scalliet, Christophette & El Karoui, Nicole & Martellini, Lionel, 2005. "Dynamic asset pricing theory with uncertain time-horizon," Journal of Economic Dynamics and Control, Elsevier, vol. 29(10), pages 1737-1764, October.
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- Dhaene, Jan & Stassen, Ben & Barigou, Karim & Linders, Daniël & Chen, Ze, 2017.
"Fair valuation of insurance liabilities: Merging actuarial judgement and market-consistency,"
Insurance: Mathematics and Economics,
Elsevier, vol. 76(C), pages 14-27.
- Jan Dhaene & Ben Stassen & Karim Barigou & Daniël Linders & Ze Chen, 2017. " Fair valuation of insurance liabilities: Merging actuarial judgement and market-consistency," Working Papers Department of Accounting, Finance and Insurance (AFI) 578281, KU Leuven, Faculty of Economics and Business, Department of Accounting, Finance and Insurance (AFI).
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KeywordsIntegrated actuarial and financial valuation; equivalent martingale measure; martingale representation theorem; static and dynamic hedging; mortality bond; Solvency II;
- C61 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Optimization Techniques; Programming Models; Dynamic Analysis
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
- G22 - Financial Economics - - Financial Institutions and Services - - - Insurance; Insurance Companies; Actuarial Studies
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