@techreport{0841e78fa73b42c1b7d4068244534500,
title = "Time-Consistent and Market-Consistent Evaluations (Revised version of 2012-086)",
abstract = "Abstract: We consider evaluation methods for payoffs with an inherent financial risk as encountered for instance for portfolios held by pension funds and insurance companies. Pricing such payoffs in a way consistent to market prices typically involves combining actuarial techniques with methods from mathematical finance. We propose to extend standard actuarial principles by a new market-consistent evaluation procedure which we call {\textquoteleft}two step market evaluation.{\textquoteright} This procedure preserves the structure of standard evaluation techniques and has many other appealing properties. We give a complete axiomatic characterization for two step market evaluations. We show further that in a dynamic setting with continuous stock prices every evaluation which is time-consistent and market-consistent is a two step market evaluation. We also give characterization results and examples in terms of g-expectations in a Brownian-Poisson setting.",
keywords = "Actuarial valuation principles, financial risk, market-consistency, time-consistency",
author = "M.A. Stadje and A. Pelsser",
note = "Pagination: 41",
year = "2014",
language = "English",
volume = "2014-002",
series = "CentER Discussion Paper",
publisher = "Econometrics",
type = "WorkingPaper",
institution = "Econometrics",
}