Abstract In this paper we study asymptotically stable risk assessments (or equivalently risk measures) which have the property that an unacceptable position cannot become acceptable by adding a huge cash-flow far in the future. Under an additional continuity assumption, these risk assessments...

This paper is an attempt to study fundamentally the valuation of insurance contracts. We start from the observation that insurance contracts are inherently linked to financial markets, be it via interest rates, or – as in hybrid products, equity-linked life insurance and variable annuities –...

We show how to generalize the result given in [Eisele, K.-Th., 2006. Recursions for compound phase distributions. Insurance: Math. Econom. 38, 149–156] to the multivariate case, i.e. we find a Panjer-like recursion principle for the distribution of a multivariate compound phase variable....

In the context of representation theorems for conditional and multi-period risk measures, we will extend the work, started in [9], on locally convex modules over the ring $\lambda= L^\infty(G)$, by adding an order or a lattice structure. The dual spaces of lattice -modules turn out to be...

In this paper, we study a simple recursion procedure for a compound phase-type distribution. This procedure is only based on the rationality of the characteristic function of the phase-type distribution of the claim number

We describe a top-down procedure for the supervisory accounting of insurance companies with special emphasis on market impacts. The technical tools are a multiperiod risk assessment, a market consistent best estimate and an eligible asset. First, to avoid supervisory arbitrage by financial...

This paper aims at providing a mathematical foundation for the terms of the well spread supervisory rule 'initial market value of assets must be at least equal to provision plus solvency capital'.It starts with a risk-adjusted assessment - given by a set of test probabilities - of the future...