Showing 1 - 6 of 6
Hedging techniques have been widely adopted in market-consistent or fair valuation approach required by recent solvency regulations, to take into account the market prices of the hedgeable parts of insurance liabilities. In this study, we investigate the fair dynamic valuation of insurance...
Persistent link: https://www.econbiz.de/10012844358
Specific purpose guarantee funds such as pension guarantee funds are popular among loss-averse investors with common investment purposes, but their investment strategies, hedging techniques, and performance receive little academic attention. We propose a practical purpose-oriented constant...
Persistent link: https://www.econbiz.de/10012851093
Persistent link: https://www.econbiz.de/10012313738
Persistent link: https://www.econbiz.de/10012545257
A general class of fair valuations, which are model-consistent (mark-to-model), market-consistent (mark-to-market) and time-consistent, was introduced in Barigou et al. (2019) under a multi-period setting. In this paper, we generalize the convex hedging approach proposed in Dhaene et al. (2017)...
Persistent link: https://www.econbiz.de/10012849771
Persistent link: https://www.econbiz.de/10013415745