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How to valuate future cash flows is a fundamental problem in
both finance and actuarial science. (Pricing of financial products,
premium and technical provisions of insurance contracts). However,
traditional ways of valuing actuarial or financial liabilities are
quite different. In Finance, the pricing is based on risk neutral
expectations of discounted cash flows, originally justified by
hedging portfolios. In Insurance, premium calculation principles
use a real world best estimate value plus a risk premium, given for
instance by a standard deviation approach and justified by pooling
effect of independent contracts. This dichotomy of paradigm is
debatable and could encourage us to find a unifying tool. This also
becomes a real challenge when it comes to pricing for instance
hybrid life insurance or pension products mixing actuarial and
financial risks. Different techniques have been recently developed
in the actuarial literature in order to address this fundamental
valuation problem in a harmonious manner, in order to remain
simultaneously market consistent and actuarial consistent. Another
issue when pricing insurance risks is the presence of diversifiable
and systematic risks requiring also different risk measurement.
Finally, when the valuation has to be dynamic (for instance
technical provisions), the time consistency of the method is an
additional difficulty.
The objective of this web session is to present various recent
researches developed in the actuarial literature, in order to
valuate complex cash flows mixing financial and actuarial risks.
After an introduction presenting the main challenges, we develop
several approaches recently proposed. All the techniques will be
applied to a typical participating life product and numerical
illustrations will be given.
Your early-bird registration fee is € 180.00 (net) / € 214.20
(incl. VAT, if applicable) for bookings by 16 May 2024. After this
date, the fee will be € 250.00 (net) / € 297.50 (incl. VAT, if
applicable).
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