skip to primary navigationskip to content
 

CF Weekly Workshop - Teemu Pennanen

When Jan 31, 2012
from 05:00 PM to 06:00 PM
Where Barbara White Room, Newnham College
Contact Name
Add event to calendar vCal
iCal

Talk by Professor Teemu Pennanen

Cash-flow based valuation of pension liabilities

Abstract:

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.

« February 2017 »
February
MoTuWeThFrSaSu
12345
6789101112
13141516171819
20212223242526
2728

RSS Feed Latest news

CERF PhD Scholarship competition 2017 - now closed

Nov 08, 2016

For the fifth year, Cambridge Endowment for Research in Finance is offering a scholarship scheme.

View all news

Upcoming events

Cambridge Finance Workshop - H. Peyton Young

Mar 09, 2017

Room W4.03, Cambridge Judge Business School

Cambridge Finance Workshop - Erwan Morellec

May 04, 2017

Room W4.03, Cambridge Judge Business School

Previous events

Upcoming events