{"title":"Actuarial-consistency and two-step actuarial valuations: a new paradigm to insurance valuation","authors":"Karim Barigou, Daniël Linders, Fan Yang","doi":"10.1080/03461238.2022.2090272","DOIUrl":null,"url":null,"abstract":"ABSTRACT This paper introduces new valuation schemes called actuarial-consistent valuations for insurance liabilities which depend on both financial and actuarial risks, which imposes that all actuarial risks are priced via standard actuarial principles. We propose to extend standard actuarial principles by a new actuarial-consistent procedure, which we call ‘two-step actuarial valuations’. In the case valuations are coherent, we show that actuarial-consistent valuations are equivalent to two-step actuarial valuations. We also discuss the connection with ‘two-step market-consistent valuations’ from Pelsser, A. & Stadje, M. [(2014). Time-consistent and market-consistent evaluations. Mathematical Finance 24(1), 25–65]. In particular, we discuss how the dependence structure between actuarial and financial risks impacts both actuarial-consistent and market-consistent valuations.","PeriodicalId":1,"journal":{"name":"Accounts of Chemical Research","volume":null,"pages":null},"PeriodicalIF":16.4000,"publicationDate":"2021-08-30","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"2","resultStr":null,"platform":"Semanticscholar","paperid":null,"PeriodicalName":"Accounts of Chemical Research","FirstCategoryId":"96","ListUrlMain":"https://doi.org/10.1080/03461238.2022.2090272","RegionNum":1,"RegionCategory":"化学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q1","JCRName":"CHEMISTRY, MULTIDISCIPLINARY","Score":null,"Total":0}
引用次数: 2
Abstract
ABSTRACT This paper introduces new valuation schemes called actuarial-consistent valuations for insurance liabilities which depend on both financial and actuarial risks, which imposes that all actuarial risks are priced via standard actuarial principles. We propose to extend standard actuarial principles by a new actuarial-consistent procedure, which we call ‘two-step actuarial valuations’. In the case valuations are coherent, we show that actuarial-consistent valuations are equivalent to two-step actuarial valuations. We also discuss the connection with ‘two-step market-consistent valuations’ from Pelsser, A. & Stadje, M. [(2014). Time-consistent and market-consistent evaluations. Mathematical Finance 24(1), 25–65]. In particular, we discuss how the dependence structure between actuarial and financial risks impacts both actuarial-consistent and market-consistent valuations.
摘要本文介绍了一种新的保险负债估值方案，称为精算一致估值，它既依赖于财务风险，也依赖于精算风险，它要求所有精算风险都通过标准精算原则定价。我们建议通过一种新的精算一致性程序来扩展标准精算原则，我们称之为“两步精算估值”。在估值一致的情况下，我们证明了精算一致估值等同于两步精算估值。我们还讨论了与Pelsser, A. & Stadje, M.(2014)的“两步市场一致估值”的联系。时间一致和市场一致的评估。数学金融，24(1)，25-65]。特别地，我们讨论了精算和金融风险之间的依赖结构如何影响精算一致性和市场一致性估值。
期刊介绍：
Accounts of Chemical Research presents short, concise and critical articles offering easy-to-read overviews of basic research and applications in all areas of chemistry and biochemistry. These short reviews focus on research from the author’s own laboratory and are designed to teach the reader about a research project. In addition, Accounts of Chemical Research publishes commentaries that give an informed opinion on a current research problem. Special Issues online are devoted to a single topic of unusual activity and significance.
Accounts of Chemical Research replaces the traditional article abstract with an article "Conspectus." These entries synopsize the research affording the reader a closer look at the content and significance of an article. Through this provision of a more detailed description of the article contents, the Conspectus enhances the article's discoverability by search engines and the exposure for the research.
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