Department seminar by Jan Dhaene

Friday, October 29, 2021 10:00 am - 10:00 am EDT (GMT -04:00)

Please Note: This seminar will be given online.

Actuarial Science and Financial Mathematics seminar series

Jan Dhaene
KU Leuven

Link to join seminar: Hosted on Zoom

Fair valuation of insurance liabilities

In this workshop, we investigate the fair valuation of liabilities related to an insurance policy or portfolio in a single period model. We define a fair valuation as a valuation which is both market-consistent (mark-to-market for any hedgeable part of a claim) and model-consistent (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. Finally, we discuss several generalizations (multi-period valuations, time consistent valuations).