Matches in SemOpenAlex for { <https://semopenalex.org/work/W2895584103> ?p ?o ?g. }
Showing items 1 to 94 of
94
with 100 items per page.
- W2895584103 endingPage "187" @default.
- W2895584103 startingPage "163" @default.
- W2895584103 abstract "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. [Insurance: Mathematics & Economics, 76, 14–27 (2017)] in a single period framework. In particular, the authors considered mean-variance hedge-based (MVHB) valuations where fair valuations of insurance liabilities are expressed in terms of mean-variance hedges and actuarial valuations. In this paper, we generalize this MVHB approach to a multi-period dynamic investment setting. We show that the classes of fair valuations and MVHB valuations are equivalent in this generalized setting. We derive tractable formulas for the fair valuation of equity-linked contracts and show how the actuarial part of their MVHB valuation decomposes into a diversifiable and a non-diversifiable component." @default.
- W2895584103 created "2018-10-12" @default.
- W2895584103 creator A5062479173 @default.
- W2895584103 creator A5089126302 @default.
- W2895584103 date "2018-10-04" @default.
- W2895584103 modified "2023-09-30" @default.
- W2895584103 title "Fair valuation of insurance liabilities via mean-variance hedging in a multi-period setting" @default.
- W2895584103 cites W1988959228 @default.
- W2895584103 cites W2034441475 @default.
- W2895584103 cites W2062076119 @default.
- W2895584103 cites W2065660452 @default.
- W2895584103 cites W2093824721 @default.
- W2895584103 cites W2138407064 @default.
- W2895584103 cites W2146612430 @default.
- W2895584103 cites W2594586581 @default.
- W2895584103 cites W2609851868 @default.
- W2895584103 cites W2717716242 @default.
- W2895584103 cites W2762771911 @default.
- W2895584103 cites W279225087 @default.
- W2895584103 cites W3121334078 @default.
- W2895584103 cites W3122603968 @default.
- W2895584103 cites W3124754868 @default.
- W2895584103 cites W3124838202 @default.
- W2895584103 cites W3125387396 @default.
- W2895584103 cites W4232391404 @default.
- W2895584103 cites W4248330751 @default.
- W2895584103 cites W4248757863 @default.
- W2895584103 cites W74866803 @default.
- W2895584103 doi "https://doi.org/10.1080/03461238.2018.1528477" @default.
- W2895584103 hasPublicationYear "2018" @default.
- W2895584103 type Work @default.
- W2895584103 sameAs 2895584103 @default.
- W2895584103 citedByCount "20" @default.
- W2895584103 countsByYear W28955841032018 @default.
- W2895584103 countsByYear W28955841032019 @default.
- W2895584103 countsByYear W28955841032020 @default.
- W2895584103 countsByYear W28955841032021 @default.
- W2895584103 countsByYear W28955841032022 @default.
- W2895584103 countsByYear W28955841032023 @default.
- W2895584103 crossrefType "journal-article" @default.
- W2895584103 hasAuthorship W2895584103A5062479173 @default.
- W2895584103 hasAuthorship W2895584103A5089126302 @default.
- W2895584103 hasBestOaLocation W28955841032 @default.
- W2895584103 hasConcept C10138342 @default.
- W2895584103 hasConcept C121955636 @default.
- W2895584103 hasConcept C149782125 @default.
- W2895584103 hasConcept C162118730 @default.
- W2895584103 hasConcept C162324750 @default.
- W2895584103 hasConcept C17744445 @default.
- W2895584103 hasConcept C186027771 @default.
- W2895584103 hasConcept C18903297 @default.
- W2895584103 hasConcept C196083921 @default.
- W2895584103 hasConcept C199539241 @default.
- W2895584103 hasConcept C199728807 @default.
- W2895584103 hasConcept C33923547 @default.
- W2895584103 hasConcept C70771513 @default.
- W2895584103 hasConcept C86803240 @default.
- W2895584103 hasConceptScore W2895584103C10138342 @default.
- W2895584103 hasConceptScore W2895584103C121955636 @default.
- W2895584103 hasConceptScore W2895584103C149782125 @default.
- W2895584103 hasConceptScore W2895584103C162118730 @default.
- W2895584103 hasConceptScore W2895584103C162324750 @default.
- W2895584103 hasConceptScore W2895584103C17744445 @default.
- W2895584103 hasConceptScore W2895584103C186027771 @default.
- W2895584103 hasConceptScore W2895584103C18903297 @default.
- W2895584103 hasConceptScore W2895584103C196083921 @default.
- W2895584103 hasConceptScore W2895584103C199539241 @default.
- W2895584103 hasConceptScore W2895584103C199728807 @default.
- W2895584103 hasConceptScore W2895584103C33923547 @default.
- W2895584103 hasConceptScore W2895584103C70771513 @default.
- W2895584103 hasConceptScore W2895584103C86803240 @default.
- W2895584103 hasFunder F4320321730 @default.
- W2895584103 hasIssue "2" @default.
- W2895584103 hasLocation W28955841031 @default.
- W2895584103 hasLocation W28955841032 @default.
- W2895584103 hasOpenAccess W2895584103 @default.
- W2895584103 hasPrimaryLocation W28955841031 @default.
- W2895584103 hasRelatedWork W2002387390 @default.
- W2895584103 hasRelatedWork W2030617584 @default.
- W2895584103 hasRelatedWork W2056210026 @default.
- W2895584103 hasRelatedWork W2066824604 @default.
- W2895584103 hasRelatedWork W2072638530 @default.
- W2895584103 hasRelatedWork W2084406377 @default.
- W2895584103 hasRelatedWork W2126789843 @default.
- W2895584103 hasRelatedWork W3122560031 @default.
- W2895584103 hasRelatedWork W4327750464 @default.
- W2895584103 hasRelatedWork W4372328898 @default.
- W2895584103 hasVolume "2019" @default.
- W2895584103 isParatext "false" @default.
- W2895584103 isRetracted "false" @default.
- W2895584103 magId "2895584103" @default.
- W2895584103 workType "article" @default.