Fair dynamic valuation of insurance liabilities via convex hedging
| Autor: | Tianyu Yang, Jan Dhaene, Ze Chen, Bingzheng Chen |
|---|---|
| Rok vydání: | 2021 |
| Předmět: |
Statistics and Probability
Computer Science::Computer Science and Game Theory Economics and Econometrics Class (set theory) 050208 finance 05 social sciences Regular polygon TheoryofComputation_GENERAL 01 natural sciences Exponential function 010104 statistics & probability Quadratic equation Time consistency 0502 economics and business 0101 mathematics Statistics Probability and Uncertainty Hedge (finance) Mathematical economics Realization (probability) Valuation (finance) Mathematics |
| Zdroj: | Insurance: Mathematics and Economics. 98:1-13 |
| ISSN: | 0167-6687 |
| DOI: | 10.1016/j.insmatheco.2021.01.001 |
| Popis: | A general class of fair dynamic valuations, which are model-consistent (mark-to-model), market-consistent (mark-to-market) and time-consistent, was introduced by Barigou et al. (2019) in a multi-period setting. In this paper, we generalize the convex hedging approach proposed in Dhaene et al. (2017) to a multi-period framework and investigate the realization of fair dynamic valuations via a convex hedge-based (CHB) approach. We show that the classes of fair dynamic valuations and CHB dynamic valuations are equivalent. Moreover, we show how to implement the CHB dynamic valuations based on two specific classes of convex hedging techniques, i.e. the quadratic and exponential convex hedging. |
| Databáze: | OpenAIRE |
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