Jan 31, 2012
from 05:00 PM to 06:00 PM
|Where||Barbara White Room, Newnham College|
|Contact Name||Sheryl Anderson|
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Talk by Professor Teemu Pennanen
Cash-flow based valuation of pension liabilities
This paper presents a computational framework for cash-flow based valuation
of insurance liabilities in incomplete markets. It accounts for the risks associated
with both insurance claims and investment returns over the lifetime of the liabilities.
The valuation framework is market consistent in the sense that it takes into account
the investment opportunities available to the insurer at the time of valuation. The
framework is easily adapted to different lines of insurance and it can effectively
employ advanced tools for strategic portfolio management. As an application, we
value the insurance portfolio of the Finnish private sector occupational pension
system where the liabilities extend over 82 years.