Time-Consistent Actuarial Valuations

Details Time-Consistent Actuarial Valuations Time-Consistent Actuarial Valuations

2011-09-08

arxiv.org/abs/1109.1751v1

Economy

Quantitative Finance

Pricing of Securities

Scientific paper

Recent theoretical results establish that time-consistent valuations (i.e. pricing operators) can be created by backward iteration of one-period valuations. In this paper we investigate the continuous-time limits of well-known actuarial premium principles when such backward iteration procedures are applied. We show that the one-period variance premiumprinciple converges to the non-linear exponential indifference valuation. Furthermore, we study the convergence of the one-period standard-deviation principle and establish that the Cost-of-Capital principle, which is widely used by the insurance industry, converges to the same limit as the standard-deviation principle. Finally, we study the connections between our time-consistent pricing operators, Good Deal Bound pricing and pricing under model ambiguity.

Affiliated with

Also associated with

No associations

Rating

Time-Consistent Actuarial Valuations does not yet have a rating. At this time, there are no reviews or comments for this scientific paper.

If you have personal experience with Time-Consistent Actuarial Valuations, we encourage you to share that experience with our LandOfFree.com community. Your opinion is very important and Time-Consistent Actuarial Valuations will most certainly appreciate the feedback.

Rate now

Comments { 0 }

Profile ID: LFWR-SCP-O-475509