Multiple-prior valuation of cash flows subject to capital requirements

We study market-consistent valuation of liability cash flows motivated by current regulatory frameworks for the insurance industry. The value assigned to an insurance liability is the consequence of (1) considering a hypothetical transfer of an insurance company's liabilities, and financial ass...

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Veröffentlicht in:	Insurance, mathematics & economics Jg. 111; S. 41 - 56
Hauptverfasser:	Engsner, Hampus, Lindskog, Filip, Thøgersen, Julie
Format:	Journal Article
Sprache:	Englisch
Veröffentlicht:	Elsevier B.V 01.07.2023
Schlagworte:	Capital requirements Insurance valuation Limited liability Market-consistent valuation Market-consistent valuation Insurance valuation Capital requirements Limited liability Optimal stopping matematisk statistik Mathematical Statistics Optimal stopping Capital requirements Optimal stopping Market-consistent valuation G22 G32 G28 Insurance valuation Limited liability
ISSN:	0167-6687, 1873-5959, 1873-5959
Online-Zugang:	Volltext
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