Reports from Catholic University of Leuven Provide New Insights into Insurance Economics (Fair valuation of insurance liabilities: Merging actuarial…

Reports from Catholic University of Leuven Provide New Insights into Insurance Economics (Fair valuation of insurance liabilities: Merging actuarial judgement and market-consistency)

By a News Reporter-Staff News Editor at Insurance Weekly News -- A new study on Economics - Insurance Economics is now available. According to news reporting originating from Leuven, Belgium, by VerticalNews correspondents, research stated, "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)."

Funders for this research include Onderzoeksfonds KU Leuven, Bilateral Cooperation Project Tsinghua University - KU Leuven, Life Insurance Project from the Insurance Institute of China.

Our news editors obtained a quote from the research from the Catholic University of Leuven, "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)."

According to the news editors, the research concluded: "We show that the classes of fair, hedge-based and two-step valuations are identical."

For more information on this research see: Fair valuation of insurance liabilities: Merging actuarial judgement and market-consistency. Insurance Mathematics & Economics, 2017;76():14-27. Insurance Mathematics & Economics can be contacted at: Elsevier Science Bv, PO Box 211, 1000 Ae Amsterdam, Netherlands.

The news editors report that additional information may be obtained by contacting J. Dhaene, Catholic University of Leuven, Actuarial Res Grp, AFI, Fac Business & Econ, Leuven, Belgium. Additional authors for this research include B. Stassen, K. Barigou, D. Linders and Z. Chen.

The direct object identifier (DOI) for that additional information is: https://doi.org/10.1016/j.insmatheco.2017.06.003. This DOI is a link to an online electronic document that is either free or for purchase, and can be your direct source for a journal article and its citation.

Keywords for this news article include: Leuven, Belgium, Europe, Insurance Economics, Economics, Catholic University of Leuven.

Our reports deliver fact-based news of research and discoveries from around the world. Copyright 2017, NewsRx LLC