The Valuation of Insurance Liabilities: A Framework Based on First Principles

Andrea Bergesio, Paul Huber, Pablo Koch-Medina and Lutz Wilhelmy
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Andrea Bergesio: Department of Banking and Finance; Swiss Finance Institute
Paul Huber: Swiss Re
Pablo Koch-Medina: University of Zurich - Department of Banking and Finance; Swiss Finance Institute
Lutz Wilhelmy: Swiss Re

No 20-03, Swiss Finance Institute Research Paper Series from Swiss Finance Institute

Abstract: We describe a framework for the valuation of insurance liabilities that relies on first principles in finance theory. Key features of the economic value of liabilities are its market-consistency and the inclusion of the costs of financial frictions. We compare this framework to the Solvency II approach and highlight the differences.

Keywords: Insurance; Valuation; Financial Frictions; Market Consistency; Solvency II (search for similar items in EconPapers)
JEL-codes: G22 G32 (search for similar items in EconPapers)
Pages: 12 pages
Date: 2020-01
New Economics Papers: this item is included in nep-ias
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Persistent link: https://EconPapers.repec.org/RePEc:chf:rpseri:rp2003

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