Author: Alm Jonas Lindskog Filip
Publisher: MDPI
E-ISSN: 2227-9091|3|3|338-364
ISSN: 2227-9091
Source: Risks, Vol.3, Iss.3, 2015-09, pp. : 338-364
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Abstract
In this paper, we study the valuation of stochastic cash flows that exhibit dependence on interest rates. We focus on insurance liability cash flows linked to an index, such as a consumer price index or wage index, where changes in the index value can be partially understood in terms of changes in the term structure of interest rates. Insurance liability cash flows that are not explicitly linked to an index may still be valued in our framework by interpreting index returns as so-called claims inflation,
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