Centro de Documentacion de Fundación MAPFRE - Fair value of liabilities : the financial economics perspective

MAP20071508691

Fair value of liabilities : the financial economics perspective / David F. Babbel, Jeremy Gold, Craig Merrill

This paper presents the fundamental approaches of financial economics to valuation. Three methods are demonstrated by which financial economist account for risk. It illustrates how these methods relate to one another and how they can be applied in the valuation of risky corporate bonds, guaranteed investment contracts (GICs) with and without interest rate contingencies, and whole life insurance. Next, it discuss how these models treat orthogonal risks, such as the kind often covered by insurance contracts. Demand side and supply side diversification are treated, and liquidity risk is then considered. It concludes with a summary of the benefits of decomposition and transparency

En: North American Actuarial Journal Society of Actuaries. - Schaumburg, Illinois. - 2002 ; p. 12-27

1. Empresas de seguros . 2. Fair value . 3. Modelo estocástico . 4. Valoración de empresas . 5. Contabilidad . 6. Valoración de riesgos . 7. Matemática del seguro . 8. Métodos actuariales . I. Gold, Jeremy . II. Merrill, Craig . III. Título.