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Abstract
Introduction into market-consistent actuarial valuation.Topics: Stochastic discounting, full balance sheet approach, valuation portfolioin life and non-life insurance, technical and financial risks, risk management forinsurance companies.
Content
In this lecture we give a full balance sheet approach to the actuarial valuation of an insurance company. Therefore we introduce a multidimensional valuation portfolio on the liability side of the balance sheet. The basis of this multidimensional VaPo are financial instruments, which make the liability side of the balance sheet directly comparable to its asset side. The lecture is based on four sections: 1) Stochastic discounting 2) Construction of a multidimensional Valuation Portfolio for life insurance products (with minimal guarantees) 3) Construction of a multidimensional Valuation Portfolio for a run-off portfolio of a non-life insurance company 4) Measuring financial risks in a full balance sheet approach (ALM risks)
Resources
Lecture Notes
Lecture notes are in preparation
Literature
Additional literature: Buchwalder, M., Buehlmann, H., Merz, M., Wuethrich, M. (2005). Legal valuation portfolio in non-life insurance. Conference Paper presented at the 36th ASTIN Colloquium, ETH Zuerich. Available under www.astin2005.ch Buehlmann, H. (2004). Multidimensional valuation, Finance 25, pp.15-29. Gerber, H.U., Shiu, E.S.W. (1994). Option pricing by Esscher transforms, Trans. Soc. Act. 24, pp.99-140. Swiss Solvency Test, BPV SST 2005 Technisches Dokument, Version 22. Juni 2005. Available under www.sav-ausbildung.ch
General Information
- Language
- English
- Levels
- BSC , MSC
- Frequency
- Every two years
Examination
- Type
- session examination
- Mode
- oral 20 minutes
Course Components
| Type | Title | Time & Place | Hours |
|---|---|---|---|
| lecture |
Market-Consistent Actuarial Valuation
Does not take place this semester.
|
No time listed | 2 h weekly |