Economics - Theses

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Author: Sato, Manabu × Subject: Cairns’ integrated Gaussian model ×

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    Fair valuation of insurance liabilities - a case study
    Sato, Manabu ( 2007-12)
    Insurance contracts will be reported at fair values on insurers’ balance sheets from 2010. In this thesis, we will review the conceptual and theoretical backbone of the insurance fair valuation project while providing a summary of the key features of the fair valuation project. Then, we will conduct a case study aimed at finding, under the fair valuation regime, the best asset allocation strategy for a particular business unit that carries a hypothetical annuity portfolio using a single modelling framework for valuation, risk calculation and business appraisal.