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
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Journal / series
European Actuarial Journal
Volume
5(1)
Pages / Article No.
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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Citations
Cited 4 times in Scopus
ETH Bibliography
yes
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