چکیده مقاله
Most life insurance and pension contracts are very long dated liabilities that are not traded in the market The supervisor requirement for a Market Consistent valuation emphasizes the importance of pricing and risk management for such liabilities To obtain amarket consistent price, we combine hedgeable financial risk with an partially unhedgeable actuarial risk and price the hybrid payoff using a two step market evaluation In a general setting, the valuation process comprises the no arbitrage price of pure financial risk, the value of partially hedged actuarial risk attributable to its correlation with financial risk if available , and finally the value of pure actuarial risk through well known actuarial premium principles We implement a two step valuation using a backward iteration method and obtain a timeconsistent market consistent TCMC price during the valuation period We also provide a continuous time limit of the TCMC price for the Variance and Standard Deviation actuarial prices We also provide a market consistent version of alternative pricing methods: the Best Estimate pricing method typically used for pension liabilities and the EIOPA’s Risk Margin method used under Solvency II to value life insurance liabilities By comparing these prices with the TCMC price for a unit linked contract, we show that the EIOPA Risk Margin method acts in the correct direction to reflect part of the uncertainty attributable to the future dynamics of non hedgeable risks, whereas Best Estimate pricing completely ignores that uncertainty Because the Risk Margin method still ignores certain uncertainties, it is not fully time consistent and its gap with TCMC should not be ignored for long dated contracts We also numerically show that the two step actuarial valuation captures partial or perfect hedging because all three prices converge to one adjusted Best Estimate price when the correlation between financial and actuarial risks increases
کلیدواژهها
نویسندگان
Ahmad Salahnejhad Ghalehjooghi
Corresponding Author, Maastricht University Graduate School of Business and Economics & HPCFinance Project FP۷Marie Curie ITN
Antoon Pelsser
Maastricht University, Netspar & Kleynen Consultants
شیوه ارجاع
Salahnejhad Ghalehjooghi, Ahmad and Pelsser, Antoon,1395,Market-Consistent Actuarial Valuations with Applications to EIOPA Risk-margin and Time-consistent Pricing,23th National Conference on Insurance and Development ,Tehran
ارائهشده در
مجموعه مقالات بیست و سومین همایش ملی و نهمین همایش بین المللی بیمه و توسعه13 آذر 1395 · تهران