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

被引：22

作者：

Barigou, Karim ^{[1
]}

Chen, Ze ^{[2
]}

Dhaene, Jan ^{[1
]}

机构：

[1] Katholieke Univ Leuven, Fac Econ & Business, AFI, Actuarial Res Grp, Leuven, Belgium

[2] Renmin Univ China, Sch Finance, Beijing 100872, Peoples R China

来源：

INSURANCE MATHEMATICS & ECONOMICS | 2019年 / 88卷

基金：

比利时弗兰德研究基金会;

关键词：

Fair dynamic valuation; Time-consistency; Solvency II; Market-consistent valuation; Actuarial valuation; RISK; OPTIONS;

D O I：

10.1016/j.insmatheco.2019.05.003

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

In this paper, we investigate the fair valuation of insurance liabilities in a dynamic multi-period setting. We define a fair dynamic valuation as a valuation which is actuarial (mark-to-model for claims independent of financial market evolutions), market-consistent (mark-to-market for any hedgeable part of a claim) and time-consistent, extending the work of Dhaene et al. (2017) and Barigou and Dhaene (2019). We provide a complete hedging characterization for fair dynamic valuations. Moreover, we show how to implement fair dynamic valuations through a backward iterations scheme combining risk minimization methods from mathematical finance with standard actuarial techniques based on risk measures. (C) 2019 Elsevier B.V. All rights reserved.

引用

页码：19 / 29

页数：11

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