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Fair dynamic valuation of insurance liabilities via convex hedging

Chen, Z; Chen, BZ; Dhaene, J; Yang, TY

Chen, Z (corresponding author), Renmin Univ China, Sch Finance, Beijing 100872, Peoples R China.

INSURANCE MATHEMATICS & ECONOMICS, 2021; 98 (): 1

Abstract

A general class of fair dynamic valuations, which are model-consistent (mark-to-model), market-consistent (mark-to-market) and time-consistent, was in......

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