Benchmarks for the benchmark approach to valuing long-term insurance liabilities : comment on Fergusson & Platen (2023)
Year of publication: |
2023
|
---|---|
Authors: | Bauer, Daniel |
Other Persons: | Fergusson, Kevin (contributor) ; Platen, Eckhard (contributor) |
Published in: |
Annals of actuarial science : publ. by the Institute of Actuaries and the Faculty of Actuaries. - Cambridge : Cambridge Univ. Press, ISSN 1748-5002, ZDB-ID 2418917-0. - Vol. 17.2023, 1, p. 208-211
|
Subject: | Derivative pricing | Financial economics | Long-term liabilities | Valuation | Benchmarking | Derivat | Derivative | Portfolio-Management | Portfolio selection | Optionspreistheorie | Option pricing theory | Haftung | Liability | CAPM |
-
Equal risk pricing under convex trading constraints
Guo, Ivan, (2017)
-
Risk sharing in a financial market with endogenous option prices
Wenzelburger, Jan, (2013)
-
Essays on asset pricing, investor preferences, and derivative markets
Koëter, Joren, (2021)
- More ...
-
Stylised Properties of the Interest Rate Term Structure Under The Benchmark Approach
Fergusson, Kevin, (2014)
-
Fergusson, Kevin, (2015)
-
On the Distributional Characterization of Daily Log-Returns of a World Stock Index
Fergusson, Kevin, (2006)
- More ...