Search for dissertations about: "Hampus Engsner"

Found 2 swedish dissertations containing the words Hampus Engsner.

  2. 1. Multi-period valuation of insurance liabilities subject to capital requirements

    Author : Hampus Engsner; Filip Lindskog; Mathias Lindholm; Albrecher Hansjörg; Stockholms universitet; []
    Keywords : NATURVETENSKAP; NATURAL SCIENCES;

    Abstract : In the papers presented here, approaches to multi-period valuation of a liability cashflow in runoff, subject to repeated capital requirements, are developed and analyzed. The valuation approaches are inspired by current risk-based regulatory frameworks for the insurance industry, and consistent with the fundamental principles underlying them. READ MORE

  4. 2. Dynamic valuation of insurance cash flows subject to capital requirements

    Author : Hampus Engsner; Filip Lindskog; Mathias Lindholm; Patrick Cheridito; Stockholms universitet; []
    Keywords : NATURVETENSKAP; NATURAL SCIENCES; Valuation; Risk measures; Mathematical Statistics; matematisk statistik;

    Abstract : Insurance companies are required by regulation to be in possession of liquid assets that ensure that they can meet their obligations to policyholders with high probability. The amount is usually determined by an actuarial valuation, with for instance the Solvency II regulatory framework providing standard formulae. READ MORE