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Market Value of Liabilities Mortality Risk

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  • Henk van Broekhoven

Abstract

Market values of the invested assets are frequently published. For most insurance liabilities, there are no published market values and, therefore, these have to be constructed. This construction can be based on a best estimate and a price for the risks in the liabilities. This paper presents a model explaining how the best estimate and the price of mortality risk can be constructed. Several methods to describe the risks are already known. The purpose of this paper is to describe a method to determine the mortality risk in a practical way.

Suggested Citation

  • Henk van Broekhoven, 2002. "Market Value of Liabilities Mortality Risk," North American Actuarial Journal, Taylor & Francis Journals, vol. 6(2), pages 95-106.
    • Handle: RePEc:taf:uaajxx:v:6:y:2002:i:2:p:95-106
    DOI: 10.1080/10920277.2002.10596046
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    Cited by:

    1. Plat, Richard, 2009. "Stochastic portfolio specific mortality and the quantification of mortality basis risk," Insurance: Mathematics and Economics, Elsevier, vol. 45(1), pages 123-132, August.
    2. Kim Changki, 2005. "Surrender Rate Impacts on Asset Liability Management," Asia-Pacific Journal of Risk and Insurance, De Gruyter, vol. 1(1), pages 1-36, June.
    3. Monika Papież & Sabina Denkowska, 2010. "The Analysis of Mortality Changes In Selected European Countries in the Period 1960–2006," Statistics in Transition new series, Główny Urząd Statystyczny (Polska), vol. 11(3), pages 563-584, December.

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