Search Results for author:
Found 3 papers, 0 papers with code
Actuarial-consistency and two-step actuarial valuations: a new paradigm to insurance valuation
This paper introduces new valuation schemes called actuarial-consistent valuations for insurance liabilities which depend on both financial and actuarial risks, which imposes that all actuarial risks are priced via standard actuarial principles.
Insurance valuation: A two-step generalised regression approach
Current approaches to fair valuation in insurance often follow a two-step approach, combining quadratic hedging with application of a risk measure on the residual liability, to obtain a cost-of-capital margin.
Pricing equity-linked life insurance contracts with multiple risk factors by neural networks
This paper considers the pricing of equity-linked life insurance contracts with death and survival benefits in a general model with multiple stochastic risk factors: interest rate, equity, volatility, unsystematic and systematic mortality.
