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

Ahmad Salahnejhad Ghalehjooghi; Antoon Pelsser

doi:10.1080/03461238.2020.1832911

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 journal › Article › Academic › peer-review

Original language	English
Number of pages	29
Journal	Scandinavian Actuarial Journal
DOIs	https://doi.org/10.1080/03461238.2020.1832911
Publication status	E-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

Access to Document

10.1080/03461238.2020.1832911

Cite this

@article{e5f0d010e4724684ba85a21b81e57a1e,

title = "Time-consistent and market-consistent actuarial valuation of the participating pension contract",

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",

author = "{Salahnejhad Ghalehjooghi}, Ahmad and Antoon Pelsser",

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year = "2020",

month = oct,

day = "14",

doi = "10.1080/03461238.2020.1832911",

language = "English",

journal = "Scandinavian Actuarial Journal",

issn = "0346-1238",

publisher = "Routledge/Taylor & Francis Group",

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TY - JOUR

T1 - Time-consistent and market-consistent actuarial valuation of the participating pension contract

AU - Salahnejhad Ghalehjooghi, Ahmad

AU - Pelsser, Antoon

N1 - data source:

PY - 2020/10/14

Y1 - 2020/10/14

KW - Market-consistent

KW - time-consistent

KW - actuarial price

KW - participating pension contract

KW - two-step valuation

KW - backward-iteration

KW - hybrid payoff

KW - profit-sharing

KW - LIFE-INSURANCE CONTRACTS

KW - CONVEX RISK MEASURES

KW - FAIR VALUATION

KW - DISCRETE-TIME

KW - OPTIONS

KW - LIABILITIES

KW - CONVERGENCE

KW - JUDGMENT

U2 - 10.1080/03461238.2020.1832911

DO - 10.1080/03461238.2020.1832911

M3 - Article

JO - Scandinavian Actuarial Journal

JF - Scandinavian Actuarial Journal

SN - 0346-1238

ER -