Current approaches to fair valuation in insurance often follow a two-step approach,
combining quadratic hedging with application of a risk measure on the residual liability, to …

This paper is an attempt to study fundamentally the valuation of insurance contracts. We start
from the observation that insurance contracts are inherently linked to financial markets, be it …

In this paper, we investigate market-and time-consistent valuation of life-insurance liabilities,
which are long-dated by nature. To obtain a market-and time-consistent value, the “two-step …

The regulator in Europe calls for the market-consistent valuation of the insurance liabilities
that usually are not (fully) tradable. An example of such liabilities is the participating pension …

Risk measures for tail risk have an important application in the dynamic portfolio insurance
strategies. We propose a new risk measure called SlideVaR which overcome the limitation …

A general class of fair dynamic valuations, which are model-consistent (mark-to-model),
market-consistent (mark-to-market) and time-consistent, was introduced by Barigou et …

This paper introduces a fair valuation framework for pricing variable annuity liabilities and
their embedded guarantee riders within a dynamic multi-period context. We focus on …

Longevity securitization enables insurers to manage longevity or mortality risk in the life
market. Recent empirical studies identify long-range dependence (LRD) in mortality rates …

Most insurance contracts are inherently linked to financial markets, be it via interest rates, or—
as hybrid products like equity‐linked life insurance and variable annuities—directly to stocks …

Specific purpose guarantee funds (SPGFs) such as pension guarantee funds are popular
among investors with both specific investment purpose and guaranteed return requirement …