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Current approaches to fair valuation in insurance often follow a two-step approach, combining quadratic hedging with application of a risk measure on the residual liability, to obtain a cost-of-capital margin.
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2018
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Barigou, K., Chen, Z. and Dhaene, J. (2019), ‘Fair dynamic valuation of insurance liabilities: Merging actuarial judgement with market-and time-consistency’, Insurance: Mathematics and Economics
2019
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Delong, Ł., Dhaene, J. and Barigou, K. (2019 a
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Chen, Z., Chen, B. and Dhaene, J. (2020), ‘Fair dynamic valuation of insurance liabilities: a loss averse convex hedging approach’, Scandinavian Actuarial Journal
2020
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Deelstra, G., Devolder, P., Gnameho, K. and Hieber, P. (2020), ‘Valuation of hybrid financial and actuarial products in life insurance by a novel three-step method’, ASTIN Bulletin: The Journal of the IAA
2020
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Engsner, H., Lindensjö, K. and Lindskog, F. (2020), ‘The value of a liability cash flow in discrete time subject to capital requirements’, Finance and Stochastics
2020
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Pelkiewicz, A., Ahmed, S., Fulcher, P., Johnson, K., Reynolds, S., Schneider, R. and Scott, A. (2020), ‘A review of the risk margin–Solvency II and beyond’, British Actuarial Journal
2020
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Carbonneau, A. (2021), ‘Deep hedging of long-term financial derivatives’, Insurance: Mathematics and Economics
2021
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Carbonneau, A. and Godin, F. (2021), ‘Equal risk pricing of derivatives with deep hedging’, Quantitative Finance
2021
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2021
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Ghalehjooghi, A. S. and Pelsser, A. (2021), ‘Time-consistent and market-consistent actuarial valuation of the participating pension contract’, Scandinavian Actuarial Journal
2021
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