Time-consistent and market-consistent actuarial valuation of the participating pension contract

Ahmad Salahnejhad Ghalehjooghi*, Antoon Pelsser

*Corresponding author for this work

Research output: Contribution to journalArticleAcademicpeer-review

Original languageEnglish
Number of pages29
JournalScandinavian Actuarial Journal
DOIs
Publication statusE-pub ahead of print - 14 Oct 2020

Keywords

  • Market-consistent
  • time-consistent
  • actuarial price
  • participating pension contract
  • two-step valuation
  • backward-iteration
  • hybrid payoff
  • profit-sharing
  • LIFE-INSURANCE CONTRACTS
  • CONVEX RISK MEASURES
  • FAIR VALUATION
  • DISCRETE-TIME
  • OPTIONS
  • LIABILITIES
  • CONVERGENCE
  • JUDGMENT

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