Market Value Of Insurance Liabilities

DOI10.1080/10920277.2000.10595871MaRDI QIDQ5718075zbMATH OpenOpenAlexFDO

Authors Luke N. Girard

Publication date 13 January 2006

Published in North American Actuarial Journal (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/10920277.2000.10595871

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Derivative securities (option pricing, hedging, etc.) (91G20)

Recommendations

• Economic Valuation Models for Insurers
• Market-consistent actuarial valuation
• Fair valuation of insurance liabilities: merging actuarial judgement and market-consistency
• Market-Consistent Actuarial Valuation
• On market value margins and cost of capital

Cites work

• An Intertemporal General Equilibrium Model of Asset Prices
• Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation
• scientific article; zbMATH DE number 50702 (Why is no real title available?)
• scientific article; zbMATH DE number 1869269 (Why is no real title available?)

Cited in

(11)

• Consistent fitting of one-factor models to interest rate data.
• scientific article; zbMATH DE number 5151672 (Why is no real title available?)
• The application of CCA in the company liabilities pricing
• The problem with current accounting: a critique of SFAS 115 and SFAS 133 using an equity-indexed annuity example
• Market-Consistent Actuarial Valuation
• An Approach to Fair Valuation of Insurance Liabilities Using the Firm’s Cost of Capital
• Market Value of Liabilities Mortality Risk
• Managing The Volatility Of Gaap Earnings
• Two Paradigms for The Market Value of Liabilities
• An academic view on the illiquidity premium and market-consistent valuation in insurance
• \texttt{openIRM}: publicly accessible internal risk model of an artificial life insurer for analyzing and benchmarking actuarial methods in the Solvency II setting

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