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Journal articles on the topic 'Valuation in the insurance field'

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Published: 4 June 2021

Last updated: 12 February 2022

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1

Fine, A. E. M., C. P. Headdon, T. W. Hewitson, C. M. Johnson, I. C. Lumsden, M. H. Maple, P. J. L. O'Keeffe, P. J. Pook, D. E. Purchase, and D. G. Robinson. "Proposals for the statutory basis of valuation of the liabilities of linked long-term insurance business." Journal of the Institute of Actuaries 115, no. 4 (December 1988): 555–630. http://dx.doi.org/10.1017/s0020268100042864.

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1.1 The background to the production of this paper is somewhat involved, but is necessary for an understanding of why it contains what it does. Readers who are familiar with recent developments in the valuation field may proceed straight to Section 2.1.2 Statutory valuations of long-term insurance business under the Insurance Companies Act 1982 (‘the Act’, which superseded the 1974 and 1981 Acts) and the Insurance Companies Regulations 1981 (‘the current Regulations’) have now been prepared by actuaries for some years. Similarly the guidance issued by the profession to Appointed Actuaries, specifically GN1 and GN8, has also remained substantially unchanged over that period. The time was opportune for valuation practice to be reviewed in the light of recent experience.

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2

Fine, A. E. M., C. P. Headdon, T. W. Hewitson, C. M. Johnson, I. C. Lumsden, M. H. Maple, P. J. L. O'Keeffe, P. J. Pook, D. E. Purchase, and D. G. Robinson. "Proposals for the Statutory Basis of Valuation of the Liabilities of Linked Long-Term Insurance Business." Transactions of the Faculty of Actuaries 41 (1987): 369–443. http://dx.doi.org/10.1017/s0071368600009848.

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1.1 The background to the production of this paper is somewhat involved, but is necessary for an understanding of why it contains what it does. Readers who are familiar with recent developments in the valuation field may proceed straight to Section 2.1.2 Statutory valuations of long-term insurance business under the Insurance Companies Act 1982 (“the Act”, which superseded the 1974 and 1981 Acts) and the Insurance Companies Regulations 1981 (“the current Regulations”) have now been prepared by actuaries for some years. Similarly the guidance issued by the profession to Appointed Actuaries, specifically GN1 and GN8, has also remained substantially unchanged over that period. The time was opportune for valuation practice to be reviewed in the light of recent experience.

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3

Mutaqin, Dadang Jainal, and Koichi Usami. "Smallholder Farmers’ Willingness to Pay for Agricultural Production Cost Insurance in Rural West Java, Indonesia: A Contingent Valuation Method (CVM) Approach." Risks 7, no. 2 (June 20, 2019): 69. http://dx.doi.org/10.3390/risks7020069.

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To reduce the negative impacts of risks in farming due to climate change, the government implemented agricultural production cost insurance in 2015. Although a huge amount of subsidy has been allocated by the government (80 percent of the premium), farmers’ participation rate is still low (23 percent of the target in 2016). In order to solve the issue, it is indispensable to identify farmers’ willingness to pay (WTP) for and determinants of their participation in agricultural production cost insurance. Based on a field survey of 240 smallholder farmers in the Garut District, West Java Province in August–October 2017 and February 2018, the contingent valuation method (CVM) estimated that farmers’ mean willingness to pay (WTP) was Rp 30,358/ha/cropping season ($2.25/ha/cropping season), which was 16 percent lower than the current premium (Rp 36,000/ha/cropping season = $2.67/ha/cropping season). Farmers who participated in agricultural production cost insurance shared some characteristics: operating larger farmland, more contact with agricultural extension service, lower expected production for the next cropping season, and a downstream area location.

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4

Shee, Apurba, Carlo Azzarri, and Beliyou Haile. "Farmers’ Willingness to Pay for Improved Agricultural Technologies: Evidence from a Field Experiment in Tanzania." Sustainability 12, no. 1 (December 26, 2019): 216. http://dx.doi.org/10.3390/su12010216.

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Initiatives on the sustainable intensification of agriculture have introduced improved technologies tailored to farmers’ local conditions by trial demonstration with free provision of improved seeds and fertilizers. It is not clear, though, whether smallholder farmers would be willing to pay for these technologies, and what factors determine their informed demand. Using a contingent valuation experiment, combined with information at baseline among 400 households in Northern Tanzania, this study measured farmers’ willingness to pay (WTP) for hybrid maize seed and local inorganic fertilizer. Farmers’ WTP was estimated using a dichotomous contingent valuation with follow-up model. Results showed that the average WTP was 61% higher for hybrid maize seed, and 15% lower for inorganic fertilizer, than their respective average local market prices during the reference period, suggesting that farmers were willing to pay a premium for hybrid maize seed, while they did not seem to be interested in fertilizer purchase at current market price. Moreover, since improved access to extension services was found to positively affect farmers’ WTP, strengthening extension services could be a suitable policy intervention to increase farmers’ demand for improved technologies. On the other hand, farmers’ risk aversion was negatively correlated with WTP for both technologies. This result suggests that encouraging risk reduction options, such as agricultural insurance, could be a useful policy strategy for boosting farmers’ demand for improved agricultural technologies.

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5

Prykazyuk, Nataliia, and Lesya Bilokin'. "THEORETICAL ORDERING OF THE METHODS AND TOOLS OF FINANCIAL RISK MANAGEMENT OF INSURANCE COMPANIES." Economic Analysis, no. 27(1) (2017): 139–49. http://dx.doi.org/10.35774/econa2017.01.139.

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Essence of methods and tools of financial risk management of insurance companies are defined. It has been founf out that the methods of financial risk management of the insurer can be called a system of techniques in the field of financial risk management. Its use allows to solve a number of tasks to a certain extent. For example, it can allow to foresee the occurrence of risk events in the process activities of insurance companies and identify different ways of their avoidance, minimization, and transfer, and to take measures to reduce the consequences of occurrence of such events to the insurer. It has been defined that the tools of financial risk management of the insurance company are the totality of means. With their help we can make the analysis, control and funding of possible financial risks of the insurer that can arise in the process of implementation of economic activity. The methods and tools of financial risk management are closely connected. The main methods of financial risk management of the insurance company are analyzed. The most common methods of risk management in insurance are risk assessment, risk avoidance, risk reduction, risk acceptance, risk transfer. The instruments of financial risk management of the insurer, in particular, stress testing, early warning tests, Monte-Carlo, VaR-methodology, methods, which are based on calculation of indicators of ES, EVA and RAROC, as well as hedging, diversification, valuation, self-insurance, co-insurance and reinsurance are defined. The necessity to use the methods and tools of financial risk management by insurance companies is defined. It has ben provrd that the insurance company should choose the most appropriate methods and tools for risk management. The company should also take into account all the peculiarities of its activities and will assist in the evaluation and control of existing and prevention of possible risks.

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6

Terletska, Viktoria. "Approaches and methods of evaluation of the innovation company." Management and Entrepreneurship in Ukraine: the stages of formation and problems of development 2021, no. 1 (June 1, 2021): 177–82. http://dx.doi.org/10.23939/smeu2021.01.177.

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The article the main traditional approaches to business valuation, namely: profitable, costly and comparative have been explored and analyzed. The main methods within each of the traditional approaches have been investigated. The methods of estimating the value of business by income approach are the method of capitalization of net income, the method of capitalization of dividends, the method of capitalization of excess income and the method of discounting cash flow. The methods of estimating the value of business by the cost approach are: the method of net book value, the method of adjusted book value, the method of estimating the net market value of tangible assets, the replacement cost method, the replacement cost method and the liquidation value method. The methods of estimating the value of business by a comparative approach are the method of industry ratios, the method of comparing sales and the method of multipliers. In addition, it is found that in modern conditions, traditional approaches to assessing the value of the business “in its pure form” are not always used by venture investors, and the most popular methods are contractual, multipliers, discounted cash flow, venture and real options. Synthetic models play an important role today. In world practice, many different approaches are used to assess the value of companies, their assets, business in general. However, the issue of evaluation is still insufficiently addressed. When conducting valuation work in enterprises, many of the existing approaches are either not used at all, or are used very rarely, resulting in practice does not always achieve a comprehensive, complete and objective assessment of the amount of capital. A characteristic feature in determining the value of the business within the application of each of the commonly used methods is the need to take into account various aspects of financial activities, which leads to different estimates of the value of the business, which requires coordination of the results. This situation involves the selection of key cost parameters to obtain the final value of the business. Given the above, there is a need and feasibility to reconcile the results of business valuation methods, which will help to obtain a reasonable value by combining the advantages of each of the traditional methods. Determining the value of the company is one of the most important tasks in the field of corporate governance, which makes it possible to assess the level of competitiveness and success of the company in the market. The process of determining the value is carried out with a specific purpose: calculating the sale price, property insurance, obtaining a loan, etc., which determines the choice of valuation method. Business valuation is the determination of the value of a business as a property complex that can bring profit to the owner. When conducting an appraisal examination, the value of all the company’s assets is determined: real estate, machinery and equipment, inventories, financial investments, intangible assets. In addition, the efficiency of the company, its past, present and future revenues, development prospects and competitive environment in this market are assessed separately, and then the evaluated company is compared with similar companies. On the basis of such a comprehensive analysis, the business is actually assessed as a property complex that can be profitable.

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7

Irawan, Ferry, and Wirdatul Khusna Febri Safitri. "Kajian Proses Penilaian Kewajaran atas Transaksi Sewa Pihak Berelasi." Owner 5, no. 2 (August 9, 2021): 278–88. http://dx.doi.org/10.33395/owner.v5i2.491.

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This research aims to identify the fairness assessment procedures of related-party transactions by the tax assessor functional at KPP Madya Surabaya as well as the resistancesoccured whilemaking the assessment. This research applies qualitative method with descriptive research type. The focus of this research is to ascertain the assessment procedures carried out by the tax assessor functional at KPP Madya Surabaya with the types of transactions in the form of machine and equipment rental for the cigarette industry between the related-party (PT ABC and PT XYZ) The assessment is achived by adopting the income approach. The results of this study indicate that the valuation of fair market rental rates is implemented by referring to the investment feasibility criteria. The rental price is said to be reasonable if it yields NPV> 0, IRR>WACC and does not exceed the tenant's maximum return level (interest rate for investment credit in 2017 is 10.29% + bank credit risk (insurance 5%)).There are no specific provisions regarding how much numbers are used as long as they meet the criteria used by the tax assessor functional of the Surabaya Tax Office. The Resistance during the assessment process arises due to the lack of taxpayers and related parties disclosure regarding to the data and required information in the assessment. Apart from that, the assessment object which is classified as special property and the conditions during the field visit were different from the day of the assessment

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8

Bokšová, Jiřina. "Valuation of Insurance Contracts." Český finanční a účetní časopis 2008, no. 2 (June 1, 2008): 54–61. http://dx.doi.org/10.18267/j.cfuc.270.

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9

Atkins, Thomas L., Louise M. McCarthy, and J. H. Albert. "Property insurance valuation issues." Perspectives in Healthcare Risk Management 9, no. 1 (September 2, 2009): 5–8. http://dx.doi.org/10.1002/jhrm.5600090104.

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10

Jacque, Laurent L., and Charles S. Tapiero. "Premium valuation in international insurance." Scandinavian Actuarial Journal 1987, no. 1-2 (January 1987): 50–61. http://dx.doi.org/10.1080/03461238.1987.10413817.

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11

Dębicka, Joanna, and Stanisław Heilpern. "Valuation of viatical insurance contracts." Śląski Przegląd Statystyczny 18, no. 24 (2020): 235–39. http://dx.doi.org/10.15611/sps.2020.18.13.

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12

Ryan, J. P., and K. P. W. Larner. "The valuation of general insurance companies." Journal of the Institute of Actuaries 117, no. 3 (December 1990): 597–669. http://dx.doi.org/10.1017/s0020268100043249.

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AbstractThe paper presents a theoretical framework for the valuation of a general insurance company to actuaries, but also aims to provide reference work for non-actuarial users of appraised values. It distinguishes between the price that may be paid for an insurance operation from what may be called the economic or appraised value. The paper describes the elements of the appraised value calculation, selection of parameters, the uses of such evaluations and explores the future development into explicit stochastic modelling rather than the implicit methodology. Theoretical and practical considerations are illustrated and example valuations of a single line insurer are given.

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13

Linnemann, P. "Valuation of Participating Life Insurance Liabilities." Scandinavian Actuarial Journal 2004, no. 2 (March 2004): 81–104. http://dx.doi.org/10.1080/03461230110106480.

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14

Buchwalder, Markus, Hans Bühlmann, Michael Merz, and Mario V. Wüthrich. "Valuation portfolio in non-life insurance." Scandinavian Actuarial Journal 2007, no. 2 (June 2007): 108–25. http://dx.doi.org/10.1080/03461230701251455.

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15

Nissim, Doron. "Relative valuation of U.S. insurance companies." Review of Accounting Studies 18, no. 2 (October 9, 2012): 324–59. http://dx.doi.org/10.1007/s11142-012-9213-8.

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16

Schmidt, Jan-Philipp. "Market-consistent valuation of long-term insurance contracts: valuation framework and application to German private health insurance." European Actuarial Journal 4, no. 1 (April 9, 2014): 125–53. http://dx.doi.org/10.1007/s13385-014-0087-y.

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17

Hairs, C. J., D. J. Belsham, N. M. Bryson, C. M. George, D. J. P. Hare, D. A. Smith, and S. Thompson. "Fair Valuation of Liabilities." British Actuarial Journal 8, no. 2 (June 1, 2002): 203–99. http://dx.doi.org/10.1017/s135732170000372x.

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ABSTRACTA project to develop an Accounting Standard for Insurance, with the aim of enhancing understandability, relevance, reliability and comparability of general purpose financial reporting for insurance worldwide, is being progressed by the International Accounting Standards Board. The basis of the proposals is that assets and liabilities be shown at fair values (market values for quoted instruments). This paper, prepared by a Working Party established by the Life Board of the United Kingdom actuarial profession, summarises and comments upon a number of the principal features of the proposals, as they have emerged up to September 2001. The paper goes on to consider how a system of reporting for prudential regulatory purposes might be built upon a fair value general reporting base, summarising the thinking of a number of other bodies, proposing certain principles and suggesting lines of development. The appendices to the paper discuss a number of issues in further depth and present some illustrative results of some investigations into applying fair value methods in practice. The emphasis of the paper is on reporting for life assurance business, although many of the principles apply equally to general insurance.

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18

Shimko, David C. "The Valuation of Multiple Claim Insurance Contracts." Journal of Financial and Quantitative Analysis 27, no. 2 (June 1992): 229. http://dx.doi.org/10.2307/2331369.

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19

Sherrick, Bruce J., Fabio C. Zanini, Gary D. Schnitkey, and Scott H. Irwin. "Crop Insurance Valuation under Alternative Yield Distributions." American Journal of Agricultural Economics 86, no. 2 (May 2004): 406–19. http://dx.doi.org/10.1111/j.0092-5853.2004.00587.x.

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20

Putri, Endah RM, Venansius R. Tjahjono, and Daryono B. Utomo. "An Analytic Valuation of a Deposit Insurance." MATEMATIKA 34, no. 3 (December 31, 2018): 115–28. http://dx.doi.org/10.11113/matematika.v34.n3.1144.

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A deposit insurance is a measure to protect bank’s depositors fully or partly from the risk of losses caused by the banks failure to pay its debts when due. If the bank does not meet the payment since the asset value of the bank is less than debt, the guarantor will do the payment and take over the bank’s assets. The role of the guarantor is considered as a deposit insurance. Similar mechanism of the insurance to the European put option model, motivates the use of a Black-Scholes model in the valuation. The deposit insurance model is solved using a Fourier transform method analytically. Numerical results based on the solution confirms the results obtained by previous research. Also, some behaviours of the deposit insurance premium due to interest rate, volatility, and deposit-to-asset value ratio are presented.

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21

Wang, Chou-Wen, Hong-Chih Huang, and Yung-Tsung Lee. "On the valuation of reverse mortgage insurance." Scandinavian Actuarial Journal 2016, no. 4 (July 4, 2014): 293–318. http://dx.doi.org/10.1080/03461238.2014.925967.

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22

Wong, Tat Wing, Ka Wai Terence Fung, and Kwai Sun Leung. "Strategic bank closure and deposit insurance valuation." European Journal of Operational Research 285, no. 1 (August 2020): 96–105. http://dx.doi.org/10.1016/j.ejor.2018.09.032.

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23

Bauer, Daniel, Daniela Bergmann, and Rüdiger Kiesel. "On the Risk-Neutral Valuation of Life Insurance Contracts with Numerical Methods in View." ASTIN Bulletin 40, no. 1 (May 2010): 65–95. http://dx.doi.org/10.2143/ast.40.1.2049219.

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AbstractIn recent years, market-consistent valuation approaches have gained an increasing importance for insurance companies. This has triggered an increasing interest among practitioners and academics, and a number of specific studies on such valuation approaches have been published.In this paper, we present a generic model for the valuation of life insurance contracts and embedded options. Furthermore, we describe various numerical valuation approaches within our generic setup. We particularly focus on contracts containing early exercise features since these present (numerically) challenging valuation problems.Based on an example of participating life insurance contracts, we illustrate the different approaches and compare their efficiency in a simple and a generalized Black-Scholes setup, respectively. Moreover, we study the impact of the considered early exercise feature on our example contract and analyze the influence of model risk by additionally introducing an exponential Lévy model.

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24

Fytros, Charalampos. "The aporetic financialisation of insurance liabilities: Reserving under Solvency II." Finance and Society 7, no. 1 (May 4, 2021): 20–39. http://dx.doi.org/10.2218/finsoc.v7i1.5589.

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The valuation of insurance liabilities has traditionally been dealt with by actuaries, who closely monitored underlying illiquid features, assumed a long-term perspective, and exercised their own subjective, expert judgment. However, the new EU regulatory regime of Solvency II (S2) has come to require market-consistent valuation supplemented by a risk-sensitive capital. This is considered an unwanted shift towards short-termism that is misaligned with the industry’s long term and countercyclical character. The new principles place the ‘technicalising’ logic of financial economics over ‘contextualising’ actuarial know-how. Following existing analytics of valuation from the ethnography of reinsurance markets and the social studies of finance, such requirements appear either as an alarming attack against the actuarial component of traditional valuation practice, or else as a preserver of it, through a process of enfolding at the heart of the financialisation project. This article holds that the case of S2 challenges both these analytics of valuation. S2’s financialisation project, precisely by attempting to construct itself, deconstructs itself into an actuarial project, in a recurring, aporetic process. In this respect, fair (or otherwise) valuation remains always undecidable, inconclusive, and thus responsible.

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25

Lamond, Jessica Elizabeth, Namrata Bhattacharya-Mis, Faith Ka Shun Chan, Heidi Kreibich, Burrell Montz, David G. Proverbs, and Sara Wilkinson. "Flood risk insurance, mitigation and commercial property valuation." Property Management 37, no. 4 (August 19, 2019): 512–28. http://dx.doi.org/10.1108/pm-11-2018-0058.

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Purpose The purpose of this paper is to understand how built environment professionals approach the valuation of flood risk in commercial property markets and whether insurance promotes mitigation in different insurance and risk management regimes, draw common conclusions and highlight opportunities to transfer learning. Design/methodology/approach An illustrative case study approach involving literature search and 72 interviews with built environment professionals, across five countries in four continents. Findings Common difficulties arise in availability, reliability and interpretation of risk information, and in evaluating the impact of mitigation. These factors, coupled with the heterogeneous nature of commercial property, lack of transactional data and remote investors, make valuation of risk particularly challenging in the sector. Insurance incentives for risk mitigation are somewhat effective where employed and could be further developed, however, the influence of insurance is hampered by lack of insurance penetration and underinsurance. Research limitations/implications Further investigation of the means to improve uptake of insurance and to develop insurance incentives for mitigation is recommended. Practical implications Flood risk is inconsistently reflected in commercial property values leading to lack of mitigation and vulnerability of investments to future flooding. Improvements are needed in: access to adequate risk information; professional skills in valuing risk; guidance on valuation of flood risk; and regulation to ensure adequate consideration of risk and mitigation options. Originality/value The research addresses a global issue that threatens local, and regional economies through loss of utility, business profitability and commercial property value. It is unique in consulting professionals across international markets.

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26

Iwase, Yasuhiro. "Corporate Valuation in the Japanese Life Insurance Industry." Hokengakuzasshi (JOURNAL of INSURANCE SCIENCE), no. 606 (2009): 21–40. http://dx.doi.org/10.5609/jsis.2009.606_21.

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27

Kawamoto, Atsutaka. "The 20 Years’ Standard Valuation of Insurance Liabilities." Hokengakuzasshi (JOURNAL of INSURANCE SCIENCE) 2017, no. 639 (December 31, 2017): 639_177–639_201. http://dx.doi.org/10.5609/jsis.2017.639_177.

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28

Li, Kevin, John Liu, and Jia Yan. "Valuation of information-sharing in marine mutual insurance." Risk and Decision Analysis 2, no. 2 (2010): 65–74. http://dx.doi.org/10.3233/rda-2011-0028.

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29

Hariati, N., M. Yunus, and E. R. M. Putri. "Valuation risk adjusted deposit insurance on heston model." Journal of Physics: Conference Series 1397 (December 2019): 012078. http://dx.doi.org/10.1088/1742-6596/1397/1/012078.

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30

Bohn, J. "Financial Modeling, Actuarial Valuation and Solvency in Insurance." Quantitative Finance 15, no. 5 (March 19, 2015): 735–40. http://dx.doi.org/10.1080/14697688.2014.999106.

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31

Lee, Shih-Cheng, Jin-Ping Lee, and Min-Teh Yu. "Bank Capital Forbearance and Valuation of Deposit Insurance." Canadian Journal of Administrative Sciences / Revue Canadienne des Sciences de l'Administration 22, no. 3 (April 8, 2009): 220–29. http://dx.doi.org/10.1111/j.1936-4490.2005.tb00367.x.

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32

Bauer, Daniel, Rüdiger Kiesel, Alexander Kling, and Jochen Ruß. "Risk-neutral valuation of participating life insurance contracts." Insurance: Mathematics and Economics 39, no. 2 (October 2006): 171–83. http://dx.doi.org/10.1016/j.insmatheco.2006.02.003.

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33

Nordahl, Helge A. "Valuation of life insurance surrender and exchange options." Insurance: Mathematics and Economics 42, no. 3 (June 2008): 909–19. http://dx.doi.org/10.1016/j.insmatheco.2007.10.011.

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34

Zhang, Hongzhong, Tim Leung, and Olympia Hadjiliadis. "Stochastic modeling and fair valuation of drawdown insurance." Insurance: Mathematics and Economics 53, no. 3 (November 2013): 840–50. http://dx.doi.org/10.1016/j.insmatheco.2013.10.006.

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35

Hsu, W. W. Y., Y. W. Wu, and F. Y. Hsiao. "A Valuation System For Private Life Insurance And Annuity Insurance Under Taiwan’s National Health Insurance System." Value in Health 17, no. 3 (May 2014): A20—A21. http://dx.doi.org/10.1016/j.jval.2014.03.129.

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36

Felice, Massimo De, and Franco Moriconi. "Market Based Tools for Managing the Life Insurance Company." ASTIN Bulletin 35, no. 01 (May 2005): 79–111. http://dx.doi.org/10.2143/ast.35.1.583167.

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In this paper we present an approach to market based valuation of life insurance policies, in the spirit of the NUMAT proposed by Hans Bühlmann (2002) in an editorial in the ASTIN Bulletin. We have experienced the valuation method for more than one decade, both as a pricing procedure applied to policy portfolios of leading insurance companies, and by including the valuation principles into several actuarial teaching activities. Our interest is mainly focused here on participating policies that in Italy are characterized by contractually binding profit sharing rules. The problem of the fair valuation of the liabilities generated to the insurer by these contracts can be conveniently addressed using the methods of contingent claims pricing. These allow to price correctly the options embedded into the policies and to implement consistent plans of asset-liability management. The approach also provides a market based measurement of the value of business in force for outstanding policy portfolios and consistent assessments of the financial risk based capitals.

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37

Felice, Massimo De, and Franco Moriconi. "Market Based Tools for Managing the Life Insurance Company." ASTIN Bulletin 35, no. 1 (May 2005): 79–111. http://dx.doi.org/10.1017/s0515036100014070.

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In this paper we present an approach to market based valuation of life insurance policies, in the spirit of the NUMAT proposed by Hans Bühlmann (2002) in an editorial in the ASTIN Bulletin. We have experienced the valuation method for more than one decade, both as a pricing procedure applied to policy portfolios of leading insurance companies, and by including the valuation principles into several actuarial teaching activities.Our interest is mainly focused here on participating policies that in Italy are characterized by contractually binding profit sharing rules. The problem of the fair valuation of the liabilities generated to the insurer by these contracts can be conveniently addressed using the methods of contingent claims pricing. These allow to price correctly the options embedded into the policies and to implement consistent plans of asset-liability management. The approach also provides a market based measurement of the value of business in force for outstanding policy portfolios and consistent assessments of the financial risk based capitals.

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38

Ericson, Keith Marzilli, and Amanda Starc. "Measuring Consumer Valuation of Limited Provider Networks." American Economic Review 105, no. 5 (May 1, 2015): 115–19. http://dx.doi.org/10.1257/aer.p20151082.

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We measure the breadth of insurance networks in the Massachusetts health insurance exchange. Using our measures, we estimate consumer willingness-to-pay for broad and narrow networks. We find that consumers have a wide range of plans available with dramatically different networks. While consumers value broader networks, their willingness-to-pay is smaller than the brand premium, indicating an additional role for brand preferences. Consumers place additional value on star hospitals, which may affect upstream negotiations. Finally, we find significant geographic heterogeneity in the value of broad networks.

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39

Deelstra, Griselda, Pierre Devolder, Kossi Gnameho, and Peter Hieber. "VALUATION OF HYBRID FINANCIAL AND ACTUARIAL PRODUCTS IN LIFE INSURANCE BY A NOVEL THREE-STEP METHOD." ASTIN Bulletin 50, no. 3 (August 14, 2020): 709–42. http://dx.doi.org/10.1017/asb.2020.25.

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AbstractFinancial products are priced using risk-neutral expectations justified by hedging portfolios that (as accurate as possible) match the product’s payoff. In insurance, premium calculations are based on a real-world best-estimate value plus a risk premium. The insurance risk premium is typically reduced by pooling of (in the best case) independent contracts. As hybrid life insurance contracts depend on both financial and insurance risks, their valuation requires a hybrid valuation principle that combines the two concepts of financial and actuarial valuation. The aim of this paper is to present a novel three-step projection algorithm to valuate hybrid contracts by decomposing their payoff in three parts: a financial, hedgeable part, a diversifiable actuarial part, and a residual part that is neither hedgeable nor diversifiable. The first two parts of the resulting premium are directly linked to their corresponding hedging and diversification strategies, respectively. The method allows for a separate treatment of unsystematic, diversifiable mortality risk and systematic, aggregate mortality risk related to, for example, epidemics or population-wide improvements in life expectancy. We illustrate our method in the case of CAT bonds and a pure endowment insurance contract with profit and compare the three-step method to alternative valuation operators suggested in the literature.

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Haywood, Gordon, Johan Nilsson, Michael Franklin, Paul Gilbert, Linus Johansson Krafve, Lisa Lindén, Mark MacGillivray, and Robert Meckin. "Valuation Studies: A Collaborative Valuation in Practice." Valuation Studies 2, no. 1 (May 26, 2014): 71–85. http://dx.doi.org/10.3384/vs.2001-5992.142171.

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This discussion note provides a perspective on valuation studies by a group of PhD students. Based on impressions from the Valuation as Practice workshop at The University of Edinburgh in early 2014 we were inspired by the example of Kjellberg et al. (2013) to debate how we see, understand, and are inspired by the field of valuation studies. It is the hope of the editors that sharing the concerns of early-stage researchers starting out in a field in flux, may be of use to, and perhaps spur, senior contributors to further develop this emerging research landscape. Using the workshop experience as a springboard, we argue that the domain of valuation studies still relies heavily on influences from the study of economics, with a strong emphasis on processes of quantification and calculation. With apparent pragmatism within the field, concern as to what might be lost by this narrower perspective is raised. Additionally, we call for the exploration of the possibility of a common language of valuation, to better define shared features, and identify as well as manage conflicts within the field.

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Delong, Łukasz, Jan Dhaene, and Karim Barigou. "FAIR VALUATION OF INSURANCE LIABILITY CASH-FLOW STREAMS IN CONTINUOUS TIME: APPLICATIONS." ASTIN Bulletin 49, no. 2 (April 10, 2019): 299–333. http://dx.doi.org/10.1017/asb.2019.8.

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AbstractDelong et al. (2018) presented a theory of fair (market-consistent and actuarial) valuation of insurance liability cash-flow streams in continuous time. In this paper, we investigate in detail two practical applications of our theory of fair valuation. In the first example, we consider the fair valuation of a terminal benefit which is contingent on correlated tradeable and non-tradeable financial risks. In the second example, we consider a portfolio of unit-linked contracts contingent on a non-tradeable insurance and a tradeable financial risk. We derive partial differential equations (PDEs) which characterize the continuous-time fair valuation operators in these two examples and we find explicit solutions to these PDEs. The fair values of the liabilities are decomposed into the best estimate of the liability and a risk margin. The arbitrage-free representations of the fair values of the liabilities are derived and the dynamic hedging strategies associated with the continuous-time fair valuation operators are also established. Detailed interpretations of the results, which should be useful both for researchers and practitioners, are provided.

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Hrdý, Milan, and Eva Ducháčková. "Valuation Standards for Insurance Companies in the Financial Theory." Prague Economic Papers 26, no. 2 (April 1, 2017): 227–39. http://dx.doi.org/10.18267/j.pep.606.

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Devolder, Pierre, and Inmaculada Domínguez-Fabián. "Fair Valuation of Various Participation Schemes in Life Insurance." ASTIN Bulletin 35, no. 01 (May 2005): 275–97. http://dx.doi.org/10.2143/ast.35.1.583176.

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Fair valuation is becoming a major concern for actuaries, especially in the perspective of IAS norms. One of the key aspects in this context is the simultaneous analysis of assets and liabilities in any sound actuarial valuation. The aim of this paper is to illustrate these concepts, by comparing three common ways of giving bonus in life insurance with profit: reversionary, cash or terminal. For each participation scheme, we compute the fair value of the contract taking into account liability parameters (guaranteed interest rate and participation level) as well as asset parameters (market conditions and investment strategy). We find some equilibrium conditions between all those coefficients and compare, from an analytical and numerical point of view, the systems of bonus. Developments are made first in the classical binomial model and then extended in a Black and Scholes economy.

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Devolder, Pierre, and Inmaculada Domínguez-Fabián. "Fair Valuation of Various Participation Schemes in Life Insurance." ASTIN Bulletin 35, no. 1 (May 2005): 275–97. http://dx.doi.org/10.1017/s0515036100014161.

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Fair valuation is becoming a major concern for actuaries, especially in the perspective of IAS norms. One of the key aspects in this context is the simultaneous analysis of assets and liabilities in any sound actuarial valuation. The aim of this paper is to illustrate these concepts, by comparing three common ways of giving bonus in life insurance with profit: reversionary, cash or terminal. For each participation scheme, we compute the fair value of the contract taking into account liability parameters (guaranteed interest rate and participation level) as well as asset parameters (market conditions and investment strategy). We find some equilibrium conditions between all those coefficients and compare, from an analytical and numerical point of view, the systems of bonus. Developments are made first in the classical binomial model and then extended in a Black and Scholes economy.

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45

King, Michael, and Anuj Pratap Singh. "Understanding farmers’ valuation of agricultural insurance: Evidence from Vietnam." Food Policy 94 (July 2020): 101861. http://dx.doi.org/10.1016/j.foodpol.2020.101861.

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Tanskanen, Antti Juho, and Jani Lukkarinen. "Fair valuation of path-dependent participating life insurance contracts." Insurance: Mathematics and Economics 33, no. 3 (December 2003): 595–609. http://dx.doi.org/10.1016/j.insmatheco.2003.08.003.

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Gaillardetz, Patrice. "Valuation of life insurance products under stochastic interest rates." Insurance: Mathematics and Economics 42, no. 1 (February 2008): 212–26. http://dx.doi.org/10.1016/j.insmatheco.2007.02.009.

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Kassberger, Stefan, Rüdiger Kiesel, and Thomas Liebmann. "Fair valuation of insurance contracts under Lévy process specifications." Insurance: Mathematics and Economics 42, no. 1 (February 2008): 419–33. http://dx.doi.org/10.1016/j.insmatheco.2007.04.007.

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Gatzert, Nadine, and Hato Schmeiser. "Implicit Options in Life Insurance: Valuation and Risk Management." Zeitschrift für die gesamte Versicherungswissenschaft 95, S1 (January 2006): 111–28. http://dx.doi.org/10.1007/bf03353443.

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Chen, Ze, Bingzheng Chen, Jan Dhaene, and Tianyu Yang. "Fair dynamic valuation of insurance liabilities via convex hedging." Insurance: Mathematics and Economics 98 (May 2021): 1–13. http://dx.doi.org/10.1016/j.insmatheco.2021.01.001.

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