On Transformations of Actuarial Valuation Principles

In this paper we determine optimal trading strategies associated withthe financial variance and standard deviation principles of Schweizer (1997). These principles take into consideration the possibilities of hedging on the financial market and are derived by an indifference argument, which embeds the traditional (actuarial) variance and standard deviation principles in a financial framework...

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Year of publication:	2000-10-01
Authors:	Møller, Thomas
Publisher:	Københavns Universitet
Subject:	Versicherungswirtschaft \| Preisstabilität \| wages \| Varianz \| variance principle

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Extent:	432128 bytes 27 p. application/pdf
Series:	actuaries.org - publications
Type of publication:	Book / Working Paper
Language:	English
Notes:	AFIR Colloquium Tromsø - Norway - June 20-23, 2000
Classification:	G10 - General Financial Markets. General ; Management of insurance ; Insurance Industry ; Individual Working Papers, Preprints ; No country specification
Source:	USB Cologne (business full texts)

Persistent link: https://www.econbiz.de/10005847515