Valuation Portfolio

Mario V. Wüthrich and Michael Merz
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Mario V. Wüthrich: ETH Zurich
Michael Merz: University of Hamburg

Chapter Chapter 7 in Financial Modeling, Actuarial Valuation and Solvency in Insurance, 2013, pp 169-204 from Springer

Abstract: Abstract In this chapter we introduce the valuation portfolio of Buchwalder–Bühlmann–Merz–Wüthrich. The valuation portfolio provides a systematic approach for replicating insurance liabilities by financial instruments, leaving only the non-hedgeable risks. The latter are replaced by so-called best-estimates. The valuation portfolio allows for the valuation of insurance cash flows, it describes the dynamical component called claims development result and it analyzes the inherit prediction uncertainties. This construction is supplemented by explicit examples in life and non-life insurance.

Keywords: Cash Flow; Risk Measure; Balance Sheet; Life Insurance; Price Process (search for similar items in EconPapers)
Date: 2013
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Persistent link: https://EconPapers.repec.org/RePEc:spr:sprfcp:978-3-642-31392-9_7

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DOI: 10.1007/978-3-642-31392-9_7

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