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q-fin.RM2018
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…
q-fin.RM2016
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…