Fair dynamic valuation of insurance liabilities: Merging actuarial judgement with market- and time-consistency

A Dynamic Method for the Valuation of Fair Value Insurance Liabilities

This paper presents a dynamic method to estimate fair value insurance liabilities for the whole book (with separate but correlated lines) of business. The model studies the aggregate liability without assuming independence of individual losses. A non-traditional aI)proach is proposed which estimates the fair wdue liability based on a st,)ehas/ic model of individual losses. Using the contingent ...

New Accounting Standards: the Fair Value of Life Insurance Liabilities

In this dissertation we present an overview of the proposals of the International Accounting Standards Board for measurement of insurance assets and liabilities at market value. The Board has not yet finalised a standard for insurance contracts, but a Draft Statement of Principles has been published, providing indication of how fair value accounting will be implemented. We focus on life insuran...

Life insurance liabilities at market value

This paper takes a contingent claim approach to the market valuation of equity and liabilities in life insurance companies. A model is presented which explicitly takes into account the facts that the holders of life insurance contracts (LICs) have the first claim on the company’s assets whereas equityholders have limited liability, that interest rate guarantees are common elements of LICs, and ...

White Paper on Fair Valuing Property~Casualty Insurance Liabilities

Faculty of Actuarial Science and Statistics Alternative framework for the fair valuation of participating life insurance contracts

In this communication, we develop suitable valuation techniques for a with-profit/unitized with profit life insurance policy providing interest rate guarantees, when a jump-diffusion process for the evolution of the underlying reference portfolio is used. Particular attention is given to the mispricing generated by the misspecification of a jumpdiffusion process for the underlying asset as a pu...