- Essays on valuation and risk management for insurers
- Award date
- 1 February 2011
- Number of pages
- Document type
- PhD thesis
- Faculty of Economics and Business (FEB)
- Amsterdam School of Economics Research Institute (ASE-RI)
In recent years there has been increasing attention of the insurance industry for market consistent valuation of insurance liabilities and the quantification of insurance risks. Important drivers of this development are the new regulatory requirements resulting from the introduction of IFRS 4 Phase 2 and Solvency 2. Furthermore, valuation of insurance liabilities and measuring and managing the risks are the cornerstones of running an insurance company successfully. Consequently, the measurement of future cash flows and its uncertainty becomes more and more important. This thesis is a combination of papers on several issues related to valuation and risk management for insurers. Valuation of several ‘embedded options’ in insurance products will be dealt with. Furthermore, stochastic models for longevity, mortality and general insurance risks are developed. All models and concepts are directly applicable in the day-to-day business of insurance companies.
- Research conducted at: Universiteit van Amsterdam
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