In this paper, we investigate the fair valuation of liabilities related to an insurance policy or... more In this paper, we investigate the fair valuation of liabilities related to an insurance policy or portfolio in a single period framework. We define a fair valuation as a valuation which is both market-consistent (mark-to-market for any hedgeable part of a claim) and actuarial (mark-to-model for any claim that is independent of financial market evolutions). We introduce the class of hedge-based valuations, where in a first step of the valuation process, a 'best hedge' for the liability is set up, based on the traded assets in the market, while in a second step, the remaining part of the claim is valuated via an actuarial valuation. We also introduce the class of two-step valuations, the elements of which are very closely related to the two-step valuations which were introduced in Pelsser and Stadje (2014). We show that the classes of fair, hedge-based and two-step valuations are identical.
... ITEM METADATA RECORD. Title: Discussion on "Risk and discounted loss reserves", Gre... more ... ITEM METADATA RECORD. Title: Discussion on "Risk and discounted loss reserves", Greg Taylor, January 2004. ...
In this paper, we investigate the fair valuation of liabilities related to an insurance policy or... more In this paper, we investigate the fair valuation of liabilities related to an insurance policy or portfolio in a single period framework. We define a fair valuation as a valuation which is both market-consistent (mark-to-market for any hedgeable part of a claim) and actuarial (mark-to-model for any claim that is independent of financial market evolutions). We introduce the class of hedge-based valuations, where in a first step of the valuation process, a 'best hedge' for the liability is set up, based on the traded assets in the market, while in a second step, the remaining part of the claim is valuated via an actuarial valuation. We also introduce the class of two-step valuations, the elements of which are very closely related to the two-step valuations which were introduced in Pelsser and Stadje (2014). We show that the classes of fair, hedge-based and two-step valuations are identical.
... ITEM METADATA RECORD. Title: Discussion on "Risk and discounted loss reserves", Gre... more ... ITEM METADATA RECORD. Title: Discussion on "Risk and discounted loss reserves", Greg Taylor, January 2004. ...
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