Author: Louis J. Lombardi
Publisher: ACTEX Publications
ISBN: 1566985609
Category : Business & Economics
Languages : en
Pages : 301

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Book Description

Author: Irwin T. Vanderhoof
Publisher: Springer Science & Business Media
ISBN: 1475767323
Category : Business & Economics
Languages : en
Pages : 389

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Book Description
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.

Author: Irwin T. Vanderhoof
Publisher: Springer Science & Business Media
ISBN: 1461546230
Category : Business & Economics
Languages : en
Pages : 327

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Book Description
Insurance companies, as well as banks and thrift institutions, have traditionally reported assets and liabilities on the basis of their amortized cost, or book value. But following the turmoil in securities markets due to highly volatile interest rate fluctuations in the 1980s and the early 1990s, and problems caused by inadequate liquidity, in the mid-1990s the Financial Accounting Standards Board (FASB) issued a new ruling calling for financial intermediaries to report the fair, or market, value of most assets. Called FAS 115, this new standard is the first step in the eventual change to valuing all the assets and liabilities belonging to financial intermediaries under the fair value accounting method. Thus, these changes will pose tremendous future implications for three key business measures of a financial intermediary: Solvency: if the fair values of assets and liabilities are out-of-step, then healthy companies may report negative net worth and insolvent companies may appear to be in sound financial condition. Reported Earnings: if the fair values of assets and liabilities are out of step, then reported earnings will not accurately represent the financial operations of the company. Risk Management: FASB recently postponed the implementation of its new rules on accounting for the use of derivatives instruments. However, if the final set of rules for figuring the fair value of derivatives is not carefully crafted, it may be possible that companies prudently hedging their risks are subject to penalties in their financial reports, while companies taking greater risks appear to have less volatile financial performance. Compared to banks and other financial intermediaries, life insurance companies have the longest term and most complex liabilities, and hence the new FASB requirement poses the most severe challenges to the life insurance industry. The lessons learned from the debate among life insurance academics and professionals about how respond to the fair value reporting rule will be instructive to their counterparts in other sectors of the insurance industry, as well as those involved with other financial institutions. Of particular note are the two papers which comprise Part III. The first provides examples of the fair valuing of annuity contracts, while the second offers examples of the fair valuing of term insurance products. As the papers collected in The Fair Value of Insurance Business extend and update some of the issues treated in a previous Salomon Center conference volume, The Fair Value of Insurance Liabilities, this new volume may be viewed as a companion to the earlier book.

Author: A Grosen
Publisher:
ISBN:
Category : Livsforsikring
Languages : en
Pages : 0

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Author: Anders Grosen
Publisher:
ISBN:
Category :
Languages : en
Pages :

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Book Description
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.

Author:
Publisher:
ISBN:
Category :
Languages : en
Pages :

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Book Description

Author: Martin Janecek
Publisher: LAP Lambert Academic Publishing
ISBN: 9783659277368
Category :
Languages : en
Pages : 144

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Book Description
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.

Author: Mark A. Tullis
Publisher: Actex Publications Incorporated
ISBN: 9781566982269
Category : Business & Economics
Languages : en
Pages : 191

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Book Description

Author: Manabu Sato
Publisher:
ISBN:
Category : Assets
Languages : en
Pages : 470

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Book Description

Author: Jean-Paul Laurent
Publisher: Springer
ISBN: 3319297767
Category : Mathematics
Languages : en
Pages : 263

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Book Description
Focusing on life insurance and pensions, this book addresses various aspects of modelling in modern insurance: insurance liabilities; asset-liability management; securitization, hedging, and investment strategies. With contributions from internationally renowned academics in actuarial science, finance, and management science and key people in major life insurance and reinsurance companies, there is expert coverage of a wide range of topics, for example: models in life insurance and their roles in decision making; an account of the contemporary history of insurance and life insurance mathematics; choice, calibration, and evaluation of models; documentation and quality checks of data; new insurance regulations and accounting rules; cash flow projection models; economic scenario generators; model uncertainty and model risk; model-based decision-making at line management level; models and behaviour of stakeholders. With author profiles ranging from highly specialized model builders to decision makers at chief executive level, this book should prove a useful resource to students and academics of actuarial science as well as practitioners.