Search Results - subject:"consistent valuation"

Asset pricing and hedging in financial markets with fixed and proportional transaction costs

Babaei, Esmaeil - In: Annals of finance 20 (2024) 2, pp. 259-275

Persistent link: https://www.econbiz.de/10014566422

On the market-consistent valuation of participating life insurance heterogeneous contracts under longevity risk

Bacinello, Anna Rita; Chen, An; Sehner, Thorsten; … - In: Risks 9 (2021) 1, pp. 1-18

The purpose of this paper is to conduct a market-consistent valuation of life insurance participating liabilities sold …

Persistent link: https://www.econbiz.de/10013200690

On the market-consistent valuation of participating life insurance heterogeneous contracts under longevity risk

Bacinello, Anna Rita; Chen, An; Sehner, Thorsten; … - In: Risks : open access journal 9 (2021) 1/20, pp. 1-18

The purpose of this paper is to conduct a market-consistent valuation of life insurance participating liabilities sold …

Persistent link: https://www.econbiz.de/10012423050

Hedging and cash flows in the presence of taxes and expenses in life and pension insurance

Buchardt, Kristian; Møller, Thomas - In: Risks 6 (2018) 3, pp. 1-25

In investment and insurance contracts, certain stipulated payments may depend on the hedging strategy. We study the problem of calculation, hedging and valuation of such cash flows, by considering a payment process in a setup with taxes and investment costs that are functions of the investment...

Persistent link: https://www.econbiz.de/10011996626

Hedging and cash flows in the presence of taxes and expenses in life and pension insurance

Buchardt, Kristian; Møller, Thomas - In: Risks : open access journal 6 (2018) 3, pp. 1-25

Persistent link: https://www.econbiz.de/10011890660

Mathematical analysis of replication by cash flow matching

Natolski, Jan; Werner, Ralf - In: Risks 5 (2017) 1, pp. 1-15

The replicating portfolio approach is a well-established approach carried out by many life insurance companies within their Solvency II framework for the computation of risk capital. In this note we elaborate on one specific formulation of a replicating portfolio problem. In contrast to the two...

Persistent link: https://www.econbiz.de/10011709586

Mathematical analysis of replication by cash flow matching

Natolski, Jan; Werner, Ralf - In: Risks : open access journal 5 (2017) 1, pp. 1-15

The replicating portfolio approach is a well-established approach carried out by many life insurance companies within their Solvency II framework for the computation of risk capital. In this note, we elaborate on one specific formulation of a replicating portfolio problem. In contrast to the two...

Persistent link: https://www.econbiz.de/10011636566

Participating life insurance products with alternative guarantees: Reconciling policyholders' and insurers' interests

Reuß, Andreas; Ruß, Jochen; Wieland, Jochen - In: Risks 4 (2016) 2, pp. 1-18

pressure in the current situation of low interest rates and volatile capital markets, in particular when priced in a market-consistent … valuation framework. In addition, such guarantees lead to rather high capital requirements under risk-based solvency frameworks …

Persistent link: https://www.econbiz.de/10011709552

Participating life insurance products with alternative guarantees : reconciling policyholders' and insurers' interests

Reuß, Andreas; Ruß, Jochen; Wieland, Jochen - In: Risks : open access journal 4 (2016) 2, pp. 1-18

Persistent link: https://www.econbiz.de/10011507240

Loading pricing of catastrophe bonds and other long-dated, insurance-type contracts

Platen, Eckhard; Taylor, David - 2016

Persistent link: https://www.econbiz.de/10011778139