The Fair Value of Insurance Liabilities
The Fair Value of Insurance Liabilities

Author: Irwin T. Vanderhoof

Publisher: Springer Science & Business Media

Published: 2013-04-17

Total Pages: 389

ISBN-13: 1475767323

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This book explores theoretical and practical implications of reflecting the fair value of liabilities for insurance companies. In addition, the contributions discuss the disclosure of these values to the financial and regulatory communities and auditing firms which are actually calculating this illusive but important variable. It combines contributions by distinguished practitioners from the insurance, accounting and finance fields, with those of prominent academics. One of the central themes of the collection is that adequate disclosure of the true economic value of insurance company liabilities is both possible and desirable. Wherever possible, the insurance valuation process is wedded with modern financial theory. For example, the use of option pricing theory is applied to insurance companies, where the true value of the firm's liabilities is a critical variable. Methods such as cash flow, earned profit and indirect discount are explored.

Market-Consistent Actuarial Valuation
Market-Consistent Actuarial Valuation

Author: Mario V. Wüthrich

Publisher: Springer Science & Business Media

Published: 2010-09-02

Total Pages: 164

ISBN-13: 3642148522

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It is a challenging task to read the balance sheet of an insurance company. This derives from the fact that different positions are often measured by different yardsticks. Assets, for example, are mostly valued at market prices whereas liabilities are often measured by established actuarial methods. However, there is a general agreement that the balance sheet of an insurance company should be measured in a consistent way. Market-Consistent Actuarial Valuation presents powerful methods to measure liabilities and assets in a consistent way. The mathematical framework that leads to market-consistent values for insurance liabilities is explained in detail by the authors. Topics covered are stochastic discounting with deflators, valuation portfolio in life and non-life insurance, probability distortions, asset and liability management, financial risks, insurance technical risks, and solvency.

Valuation Techniques of Life Insurance Liabilities
Valuation Techniques of Life Insurance Liabilities

Author: Martin Janecek

Publisher: LAP Lambert Academic Publishing

Published: 2012

Total Pages: 144

ISBN-13: 9783659277368

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The intention of this work is to contribute to the current actuarial discussion about valuation of life insurance liabilities with a summary of current most frequent valuation methodologies. It started with the most traditional one (called "Statutory Valuation Approach") still usually required by the local regulations, continued through the more developed ones (deterministic Embedded Value approach and deterministic estimation of the Fair Value) to the most recent one - stochastic Fair Value approach via interest rates simulations. It is intended to give a more detailed overview of the methodologies not only in a way of a general description but in a way of specific mathematical formulas and numerical examples as well in order to observe their mutual relations and similarities, their positives and negatives. The real process of the stochastic liability fair value calculation under the interest rate simulations is showed at the second part of the work. The work includes an explanation of all important issues, steps and results.

Tax Basis Assets and Liabilities of U.S. Life Insurers
Tax Basis Assets and Liabilities of U.S. Life Insurers

Author: Edward L. Robbins

Publisher: ACTEX Publications

Published: 2015-03-08

Total Pages: 545

ISBN-13: 1625423837

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This new, innovative textbook, a sequel to US Tax Reserves for Life Insurers published in 2005, provides authoritative guidance and mathematical approaches to calculating both actuarial tax basis liabilities (reserves and related items) and assets (primarily invested assets and deferred taxes). The text provides an introduction to statutory and tax reserve planning and includes a detailed discussion of the pertinent parts of the authoritative guidance, including extensive references to specific cases and rulings. This sequel provides significant detail on investment tax accounting and offers an introduction to tax aspects of business combinations.

Fair Valuation of Life Insurance Liabilities
Fair Valuation of Life Insurance Liabilities

Author: Anders Grosen

Publisher:

Published: 2013

Total Pages:

ISBN-13:

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The paper analyzes one of the most common life insurance products -- the so-called participating (or with profits) policy. This type of contract stands in contrast to unit-linked (UL) products in that interest is credited to the policy periodically according to some mechanism which smoothes past returns on the life insurance company's (LIC) assets. As is the case for UL products, the participating policies are typically equipped with an interest rate guarantee and possibly also an option to surrender (sell-back) the policy to the LIC before maturity. The paper shows that the typical participating policy can be decomposed into a risk free bond element, a bonus option, and a surrender option. A dynamic model is constructed in which these elements can be valued separately using contingent claims analysis. The impact of various bonus policies and various levels of the guaranteed interest rate is analyzed numerically. We find that values of participating policies are highly sensitive to the bonus policy, that surrender options can be quite valuable, and that LIC solvency can be quickly jeopardized if earning opportunities deteriorate in a situation where bonus reserves are low and promised returns are high.