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Fair valuation of insurance liabilities: Merging actuarial judgement and market-consistency

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Cited by:

  1. Karim Barigou & Lukasz Delong, 2021. "Pricing equity-linked life insurance contracts with multiple risk factors by neural networks," Post-Print hal-02896141, HAL.
  2. Karim Barigou & Lukasz Delong, 2020. "Pricing equity-linked life insurance contracts with multiple risk factors by neural networks," Papers 2007.08804, arXiv.org, revised Nov 2021.
  3. Dixon Domfeh & Arpita Chatterjee & Matthew Dixon, 2022. "A Unified Bayesian Framework for Pricing Catastrophe Bond Derivatives," Papers 2205.04520, arXiv.org.
  4. Karim Barigou & Valeria Bignozzi & Andreas Tsanakas, 2021. "Insurance valuation: A two-step generalised regression approach," Post-Print hal-03043244, HAL.
  5. Karim Barigou & Daniel Linders & Fan Yang, 2021. "Actuarial-consistency and two-step actuarial valuations: a new paradigm to insurance valuation," Papers 2109.13796, arXiv.org, revised Mar 2022.
  6. Karim Barigou & Daniël Linders & Fan yang, 2022. "Actuarial-consistency and two-step actuarial valuations: a new paradigm to insurance valuation," Working Papers hal-03327710, HAL.
  7. 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.
  8. Hirbod Assa & Nikolay Gospodinov, 2018. "Market consistent valuations with financial imperfection," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 41(1), pages 65-90, May.
  9. Karim Barigou & Valeria Bignozzi & Andreas Tsanakas, 2020. "Insurance valuation: A two-step generalised regression approach," Papers 2012.04364, arXiv.org, revised Nov 2021.
  10. Francesco Della Corte & Gian Paolo Clemente & Nino Savelli, 2023. "A cohort-based Partial Internal Model for demographic risk," Papers 2307.03090, arXiv.org.
  11. Bellini, Fabio & Koch-Medina, Pablo & Munari, Cosimo & Svindland, Gregor, 2021. "Law-invariant functionals that collapse to the mean," Insurance: Mathematics and Economics, Elsevier, vol. 98(C), pages 83-91.
  12. Barigou, Karim & Chen, Ze & Dhaene, Jan, 2019. "Fair dynamic valuation of insurance liabilities: Merging actuarial judgement with market- and time-consistency," Insurance: Mathematics and Economics, Elsevier, vol. 88(C), pages 19-29.
  13. Karim Barigou & Valeria Bignozzi & Andreas Tsanakas, 2021. "Insurance valuation: A two-step generalised regression approach," Working Papers hal-03043244, HAL.
  14. Karim Barigou & Lukasz Delong, 2021. "Pricing equity-linked life insurance contracts with multiple risk factors by neural networks," Working Papers hal-02896141, HAL.
  15. Fabio Bellini & Pablo Koch-Medina & Cosimo Munari & Gregor Svindland, 2020. "Law-invariant functionals that collapse to the mean," Papers 2009.04144, arXiv.org, revised Jan 2021.
  16. Hansjörg Albrecher & Karl‐Theodor Eisele & Mogens Steffensen & Mario V. Wüthrich, 2022. "On the cost‐of‐capital rate under incomplete market valuation," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 89(4), pages 1139-1158, December.
  17. Koch-Medina, Pablo & Moreno-Bromberg, Santiago & Ravanelli, Claudia & Šikić, Mario, 2021. "Revisiting optimal investment strategies of value-maximizing insurance firms," Insurance: Mathematics and Economics, Elsevier, vol. 99(C), pages 131-151.
  18. Katharina Oberpriller & Moritz Ritter & Thorsten Schmidt, 2022. "Robust asymptotic insurance-finance arbitrage," Papers 2212.04713, arXiv.org.
  19. Chen, Ze & Chen, Bingzheng & Dhaene, Jan & Yang, Tianyu, 2021. "Fair dynamic valuation of insurance liabilities via convex hedging," Insurance: Mathematics and Economics, Elsevier, vol. 98(C), pages 1-13.
  20. Gian Paolo Clemente & Francesco Della Corte & Nino Savelli, 2021. "A Bridge between Local GAAP and Solvency II Frameworks to Quantify Capital Requirement for Demographic Risk," Risks, MDPI, vol. 9(10), pages 1-19, September.
  21. Karim Barigou & Daniël Linders & Fan Yang, 2022. "Actuarial-consistency and two-step actuarial valuations: a new paradigm to insurance valuation," Post-Print hal-03327710, HAL.
  22. Delong, Łukasz & Dhaene, Jan & Barigou, Karim, 2019. "Fair valuation of insurance liability cash-flow streams in continuous time: Theory," Insurance: Mathematics and Economics, Elsevier, vol. 88(C), pages 196-208.
  23. Hampus Engsner, 2021. "Least Squares Monte Carlo applied to Dynamic Monetary Utility Functions," Papers 2101.10947, arXiv.org, revised Apr 2021.
  24. Tahir Choulli & Catherine Daveloose & Michèle Vanmaele, 2021. "Mortality/Longevity Risk-Minimization with or without Securitization," Mathematics, MDPI, vol. 9(14), pages 1-27, July.
  25. Gian Paolo Clemente & Francesco Della Corte & Nino Savelli, 2021. "A bridge between Local GAAP and Solvency II frameworks to quantify Capital Requirement for demographic risk," Papers 2107.10891, arXiv.org.
  26. van Bilsen, Servaas & Linders, Daniël, 2019. "Affordable and adequate annuities with stable payouts: Fantasy or reality?," Insurance: Mathematics and Economics, Elsevier, vol. 86(C), pages 19-42.
  27. 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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