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Actuarial-consistency and two-step actuarial valuations: a new paradigm to insurance valuation

Author

Listed:
  • Karim Barigou

    (ISFA - Institut de Science Financière et d'Assurances, LSAF - Laboratoire de Sciences Actuarielles et Financières [Lyon] - ISFA - Institut de Science Financière et d'Assurances)

  • Daniël Linders

    (UvA - University of Amsterdam [Amsterdam] = Universiteit van Amsterdam)

  • Fan Yang

    (University of Waterloo [Waterloo])

Abstract

This paper introduces new valuation schemes called actuarial-consistent valuations for insurance liabilities which depend on both financial and actuarial risks, which imposes that all actuarial risks are priced via standard actuarial principles. We propose to extend standard actuarial principles by a new actuarial-consistent procedure, which we call ``two-step actuarial valuations". In the case valuations are coherent, we show that actuarial-consistent valuations are equivalent to two-step actuarial valuations. We also discuss the connection with ``two-step market-consistent valuations" from Pelsser and Stadje (2014). In particular, we discuss how the dependence structure between actuarial and financial risks impacts both actuarial-consistent and market-consistent valuations.

Suggested Citation

  • Karim Barigou & Daniël Linders & Fan Yang, 2022. "Actuarial-consistency and two-step actuarial valuations: a new paradigm to insurance valuation," Post-Print hal-03327710, HAL.
    • Handle: RePEc:hal:journl:hal-03327710
    DOI: 10.1080/03461238.2022.2090272
    Note: View the original document on HAL open archive server: https://hal.science/hal-03327710v3
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    References listed on IDEAS

    as
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