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- W4245041477 abstract "In Chapter 2 we define a mathematically consistent model for calculating time values of insurance liability cash flows. The key objects are so-called deflators which play the role of stochastic discount factors. Our definition (via deflators) leads in a natural way to market-consistent values which are consistent with the usual financial theory that involves risk neutral valuation. Typically, in financial mathematics the pricing formulas are based on equivalent martingale measures, economists use the notion of state price density processes and actuaries use the terminology of deflators under the real world probability measure. In Chapter 2 we describe these concepts and we give explicit examples." @default.
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- W4245041477 date "2010-01-01" @default.
- W4245041477 modified "2023-10-05" @default.
- W4245041477 title "Stochastic discounting" @default.
- W4245041477 doi "https://doi.org/10.1007/978-3-642-14852-1_2" @default.
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