73 citations · 121 across the 9 of their papers we have counts for
12 papers
Approximations of multi-period liability values by simple formulas
Nils Engler, Filip Lindskog
This paper is motivated by computational challenges arising in multi-period valuation in insurance. Aggregate insurance liability cashflows typically correspond to stochastic payme…
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…
Exact long time behavior of some regime switching stochastic processes
Filip Lindskog, Abhishek Pal Majumder
Regime switching processes have proved to be indispensable in the modeling of various phenomena, allowing model parameters that traditionally were considered to be constant to fluc…
Optimal dividends and capital injection under dividend restrictions
Kristoffer Lindensjö, Filip Lindskog
We study a singular stochastic control problem faced by the owner of an insurance company that dynamically pays dividends and raises capital in the presence of the restriction that…
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…