1 citations · 1 across the 4 of their papers we have counts for
4 papers
Multiple-prior valuation of cash flows subject to capital requirements
Hampus Engsner, Filip Lindskog, Julie Thoegersen
We study market-consistent valuation of liability cash flows motivated by current regulatory frameworks for the insurance industry. Building on the theory on multiple-prior optimal…
Least Squares Monte Carlo applied to Dynamic Monetary Utility Functions
Hampus Engsner
In this paper we explore ways of numerically computing recursive dynamic monetary risk measures and utility functions. Computationally, this problem suffers from the curse of dimen…
The value of a liability cash flow in discrete time subject to capital requirements
Hampus Engsner, Kristoffer Lindensjö, Filip Lindskog
The aim of this paper is to define the market-consistent multi-period value of an insurance liability cash flow in discrete time subject to repeated capital requirements, and explo…
Insurance valuation: a computable multi-period cost-of-capital approach
Hampus Engsner, Mathias Lindholm, Filip Lindskog
We present an approach to market-consistent multi-period valuation of insurance liability cash flows based on a two-stage valuation procedure. First, a portfolio of traded financia…