Search for dissertations about: "market-consistent valuation"

Found 1 swedish dissertation containing the words market-consistent valuation.

2. 1. Insurance: solvency and valuation

   Author : Jonas Alm; Göteborgs universitet; []
   Keywords : NATURVETENSKAP; NATURAL SCIENCES; risk aggregation; dependence modeling; solvency capital requirement; market-consistent valuation; market-consistent valuation;

   Abstract : This thesis concerns mathematical and statistical concepts useful to assess an insurer's risk of insolvency. We study company internal claims payment data and publicly available market data with the aim of estimating (the right tail of) the insurer's aggregate loss distribution. READ MORE