Fair valuation of insurance liability cash-flow streams in continuous time: Theory
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DOI: 10.1016/j.insmatheco.2019.07.003
Abstract: Abstract We investigate fair (market-consistent and actuarial) valuation of insurance liability cash-flow streams in continuous time. We first consider one-period hedge-based valuations, where in the first step, an optimal dynamic hedge for the liability is… read more here.
Keywords: liability; valuation operator; time; valuation ... See more keywords
Fair valuation of cliquet-style return guarantees in (homogeneous and) heterogeneous life insurance portfolios
Sign Up to like & getrecommendations! Published in 2019 at "Scandinavian Actuarial Journal"
DOI: 10.1080/03461238.2019.1574889
Abstract: ABSTRACT Participating life insurance contracts allow the policyholder to participate in the annual return of a reference portfolio. Additionally, they are often equipped with an annual (cliquet-style) return guarantee. The current low interest rate environment… read more here.
Keywords: portfolio; fair valuation; life insurance; insurance ... See more keywords