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.

« April 2019 »
April
MoTuWeThFrSaSu
1234567
891011121314
15161718192021
22232425262728
2930

RSS Feed Latest news

Winners of the Best Student Paper Award 2018 announced

Aug 21, 2018

Cambridge Finance is proud to announce the winners of the Best student Paper Award for 2017-2018

View all news

Upcoming events

Cambridge Finance Workshop - Alex Frino

May 02, 2019

Room W4.03, Cambridge Judge Business School

Cambridge Finance Workshop - Ernst-Ludwig von Thadden

May 16, 2019

No 10 North (lower ground)

Cambridge Finance Workshop - Mara Faccio

May 30, 2019

Room W4.03 Cambridge Judge Business School

Previous events

Upcoming events