Time-Consistent Actuarial Valuations

نویسندگان
چکیده

برای دانلود باید عضویت طلایی داشته باشید

برای دانلود متن کامل این مقاله و بیش از 32 میلیون مقاله دیگر ابتدا ثبت نام کنید

اگر عضو سایت هستید لطفا وارد حساب کاربری خود شوید

منابع مشابه

Are Time Consistent Valuations Information Monotone?

Multi-period risk functionals assign a risk value to discrete-time stochastic processes. While convexity and monotonicity extend in straightforward manner from the singleperiod case, the role of information is more problematic in the multi-period situation. In this paper, we define multi-period functionals in such a way that the development of available information over time (expressed as a fil...

متن کامل

Time-Consistent Majority Rules with Interdependent Valuations

This paper studies collective decision-making with interdependent valuations, where, unlike the extant literature, the committee cannot commit to a majority rule, necessitating it to be ex post optimal or “time-consistent”. We find that (1) a majority rule is timeconsistent if and only if the expected number of affirmative votes it generates is approximately the rule itself; (2) the preference ...

متن کامل

Weakly time consistent concave valuations and their dual representations

We derive dual characterizations of two notions of weak time consistency for concave valuations, which are convex risk measures under a positive sign convention. Combined with a suitable risk aversion property, these notions are shown to amount to three simple rules for not necessarily minimal representations, describing precisely which features of a valuation determine its unique consistent up...

متن کامل

ReValuator - An Expert System Approach to Actuarial Valuations

Expert system technology has now matured so that task-oriented business programs can be rapidly prototyped, developed, coded, and deployed on desktop and laptop personal computers. This rapid development and deployment is especially true when the task is well defined, and the target user has little knowledge in the specified domain. This chapter sketches the successful implementation of an actu...

متن کامل

Actuarial and Financial Valuations of Guaranteed Annuity Options

Guaranteed Annuity Options (GAOs) are options available to holders of certain pension policies. Under these contracts, policyholders contribute premiums into a fund managed by the insurer. At retirement, the policyholders buy life annuities at a guaranteed rate provided by the original insurer, or annuitize with another insurer. If the guaranteed annuity rates are better than the prevailing rat...

متن کامل

ذخیره در منابع من


  با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید

ژورنال

عنوان ژورنال: SSRN Electronic Journal

سال: 2015

ISSN: 1556-5068

DOI: 10.2139/ssrn.2614002