Hedging techniques have been widely adopted in market-consistent or fair valuation approach required by recent solvency regulations, to take into account the market prices of the hedgeable parts of insurance liabilities. In this study, we investigate the fair dynamic valuation of insurance liabilities, which are model-consistent (mark-to-model), market-consistent (mark-to-market), and time-consistent, as proposed by Barigou et al. (2019) in a multi-period setting. We introduce the loss averse convex hedging technique, which ‘punishes’ loss outcomes more than gain outcomes. We prove that fair dynamic valuations are equivalent to the class of loss averse convex hedge-based valuation. Moreover, we propose and provide a complete characterization of loss averse mean–variance hedging and show how to implement loss averse mean–variance hedge-based dynamic valuations using numerical examples.

中文翻译：

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保险负债的公平动态估值：损失规避凸套期保值方法

近期偿付能力法规要求的市场一致或公允估值方法中已广泛采用对冲技术，以考虑保险负债可对冲部分的市场价格。在本研究中，我们研究了保险负债的公平动态估值，如 Barigou 等人提出的，模型一致（mark-to-model）、市场一致（mark-to-market）和时间一致。(2019) 在一个多时期的环境中。我们引入了损失厌恶凸对冲技术，该技术对损失结果的“惩罚”多于收益结果。我们证明公平动态估值相当于损失厌恶凸面对冲估值的类别。而且，