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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Vydané v:	Insurance, mathematics & economics Ročník 111; s. 41 - 56
Hlavní autori:	Engsner, Hampus, Lindskog, Filip, Thøgersen, Julie
Médium:	Journal Article
Jazyk:	English
Vydavateľské údaje:	Elsevier B.V 01.07.2023
Predmet:	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
On-line prístup:	Získať plný text
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