Antoon Pelsser
Time-Consistent and Market-Consistent Evaluations.
Fri, 09/09/2011 - 15:01 — SomNambulAuthors: Mitja Stadje, Antoon Pelsser
Subjects: Pricing of Securities
AbstractWe consider evaluation methods for payoffs with an inherent financial risk as
encountered for instance for portfolios held by pension funds and insurance
companies. Pricing such payoffs in a way consistent to market prices typically
involves combining actuarial techniques with methods from mathematical finance.
We propose to extend standard actuarial principles by a new market-consistent
evaluation procedure which we call `two step market evaluation.' This procedure
preserves the structure of standard evaluation techniques and has many other
appealing properties.Time-Consistent Actuarial Valuations.
Fri, 09/09/2011 - 15:01 — SomNambulAuthors: Antoon Pelsser
Subjects: Pricing of Securities
AbstractRecent 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.
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