Best-estimate claims reserves in incomplete markets

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Author
Wüthrich, Mario V.
Happ, Sebastian
Merz, Michael
Date
2015-07
Type
  • Journal Article
Publication status
published
External links
Full text via SFX
Journal / series
European Actuarial Journal
Volume
5(1)
Pages
55 - 77
Publisher
Springer
Subject
Best-estimate reserves; Dynamic hedging; Sequential local risk minimization; State-price deflator; Incomplete market; Technical provisions; Risk margin
Organisational unit
08813 - Wüthrich, Mario Valentin (Tit.-Prof.)
Notes
Published online 20 November 2014.
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