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My bibliography Save this paperModelling net carrying amount of shares for market consistent valuation of life insurance liabilities
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Note: View the original document on HAL open archive server: https://hal.science/hal-01840057
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- Diana Dorobantu & Yahia Salhi & Pierre-E. Thérond, 2020. "Modelling Net Carrying Amount of Shares for Market Consistent Valuation of Life Insurance Liabilities," Methodology and Computing in Applied Probability, Springer, vol. 22(2), pages 711-745, June.
References listed on IDEAS
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Cited by:
- 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 Nov 2023.
- Anna Rita Bacinello & An Chen & Thorsten Sehner & Pietro Millossovich, 2021. "On the Market-Consistent Valuation of Participating Life Insurance Heterogeneous Contracts under Longevity Risk," Risks, MDPI, vol. 9(1), pages 1-18, January.
- Florian Gach & Simon Hochgerner, 2021. "Estimation of future discretionary benefits in traditional life insurance," Papers 2101.06077, arXiv.org, revised Jul 2022.
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More about this item
Keywords
Best Estimate Technical Provision; Joint Density *; Impairment Losses; Insurance; Correlated Brownian Motions;All these keywords.
NEP fields
This paper has been announced in the following NEP Reports:- NEP-ACC-2019-07-22 (Accounting and Auditing)
- NEP-IAS-2019-07-22 (Insurance Economics)
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