23 citations · 39 across the 9 of their papers we have counts for
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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…
q-fin.PR2016
Issues with the Smith-Wilson method
Andreas Lagerås, Mathias Lindholm
The objective of the present paper is to analyse various features of the Smith-Wilson method used for discounting under the EU regulation Solvency II, with special attention to hed…