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Utility-Consistent Valuation Schemes for the Own Risk and Solvency Assessment of Life Insurance Companies

https://doi.org/10.1515/apjri-2019-0047
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Outgoing claims: the papers this work cites, builds on, or argues with.

inferredcites →https://doi.org/10.1007/978-3-662-12616-5openalex-snapshot
Numerical Solution of Stochastic Differential Equations
inferredcites →https://doi.org/10.1007/bf00122574openalex-snapshot
Advances in prospect theory: Cumulative representation of uncertainty
inferredcites →https://doi.org/10.1007/s11166-013-9179-3openalex-snapshot
Discriminating among probability weighting functions using adaptive design optimization
inferredcites →https://doi.org/10.1007/s13385-017-0160-4openalex-snapshot
Solvency II Solvency Capital Requirement for Life Insurance Companies Based on Expected Shortfall
inferredcites →https://doi.org/10.1007/s13385-018-0183-5openalex-snapshot
Credit risk and solvency capital requirements
inferredcites →https://doi.org/10.1016/j.insmatheco.2016.07.005openalex-snapshot
Inside the Solvency 2 Black Box: Net Asset Values and Solvency Capital Requirements with a least-squares Monte-Carlo approach
inferredcites →https://doi.org/10.1016/j.jet.2011.06.011openalex-snapshot
Modeling non-monotone risk aversion using SAHARA utility functions
inferredcites →https://doi.org/10.1016/s1574-0102(03)01027-6openalex-snapshot
Chapter 18 A survey of behavioral finance
inferredcites →https://doi.org/10.1017/asb.2015.11openalex-snapshot
COMPETITIVE EQUILIBRIA WITH DISTORTION RISK MEASURES
inferredcites →https://doi.org/10.1057/gpp.2012.3openalex-snapshot
A Comparative Assessment of Basel II/III and Solvency II
inferredcites →https://doi.org/10.1080/10920277.2005.10596225openalex-snapshot
Modeling Surrender and Lapse Rates With Economic Variables
inferredcites →https://doi.org/10.1111/j.1539-6975.2006.00167.xopenalex-snapshot
Guarantees in With‐Profit and Unitized With‐Profit Life Insurance Contracts: Fair Valuation Problem in Presence of the Default Option
inferredcites →https://doi.org/10.2139/ssrn.2537408openalex-snapshot
Inside the Solvency 2 Black Box: Net Asset Values and Solvency Capital Requirements with a Least-Squares Monte-Carlo Approach
inferredcites →https://doi.org/10.2143/ast.42.2.2182805openalex-snapshot
On the Calculation of the Solvency Capital Requirement Based on Nested Simulations
inferredcites →https://doi.org/10.2307/1907921openalex-snapshot
Le Comportement de l'Homme Rationnel devant le Risque: Critique des Postulats et Axiomes de l'Ecole Americaine
inferredcites →https://doi.org/10.2307/1911242openalex-snapshot
A Theory of the Term Structure of Interest Rates

What points at this work

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inferred← citeshttps://doi.org/10.2139/ssrn.3740580openalex-extracted
On the Diversification of Fixed Income Assets
inferred← citeshttps://doi.org/10.1016/j.asoc.2023.111016openalex-snapshot
Ordered weighted utility distance operators and their applications in group decision-making
inferred← citeshttps://doi.org/10.1017/s1748499526100323openalex-snapshot
The Three-step method in a dynamic setting
inferred← citeshttps://doi.org/10.1080/03461238.2022.2090272openalex-snapshot
Actuarial-consistency and two-step actuarial valuations: a new paradigm to insurance valuation
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