Premiums and benefits associated with traditional life insurance contracts are usually specified as fixed amounts in policy conditions. However, reserve-dependent surrender values and reserve-dependent expenses are common in insurance practice. The famous Cantelli theorem in life insurance...

The computation of various risk metrics is essential to the quantitative risk management of variable annuity guaranteed benefits. The current market practice of Monte Carlo simulation often requires intensive computations, which can be very costly for insurance companies to implement and take so...

A general class of fair valuations which are both market-consistent (mark-to-market for any hedgeable part of a claim) and actuarial (mark-to-model for any claim that is independent of financial market evolutions) was introduced in Dhaene et al. in a single period framework. In particular, the...

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)...