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- W4324144096 abstract "Abstract In this paper, we introduce the 3-step hedge-based valuation for the valuation of hybrid claims. We consider an insurance portfolio which is exposed to traded risks, diversifiable risks and non-traded systematic risks. The class of 3-step hedge-based valuations is equivalent with the class of fair valuations. Closed-form solutions are derived for a portfolio of unit-linked contracts under the assumption of independence between financial and non-financial risks. We also consider the additive 3-step valuation and show that this additive valuation is a member of the more general class of 3-step hedge-based valuations." @default.
- W4324144096 created "2023-03-15" @default.
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- W4324144096 date "2023-03-14" @default.
- W4324144096 modified "2023-10-16" @default.
- W4324144096 title "The 3-step hedge-based valuation: fair valuation in the presence of systematic risks" @default.
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- W4324144096 doi "https://doi.org/10.1017/asb.2023.8" @default.
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