Fair valuation of insurance liability cash-flow streams in continuous time : applications
Year of publication: |
2019
|
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Authors: | Delong, Łukasz ; Dhaene, Jan ; Barigou, Karim |
Published in: |
Astin bulletin : the journal of the International Actuarial Association. - Cambridge : Cambridge University Press, ISSN 0515-0361, ZDB-ID 419201-1. - Vol. 49.2019, 2, p. 299-333
|
Subject: | Optimal quadratic hedging | actuarial valuation | market-consistent valuation | partial differential equation | best estimate | risk margin | net asset value | Optionspreistheorie | Option pricing theory | Hedging | Portfolio-Management | Portfolio selection | Unternehmensbewertung | Firm valuation | Finanzmathematik | Mathematical finance | Versicherungsmathematik | Actuarial mathematics | Analysis | Mathematical analysis | Lebensversicherung | Life insurance | Martingal | Martingale | CAPM |
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