On market value margins and cost of capital
Autor: | Jochen Wolf, Marcus Kriele |
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Rok vydání: | 2007 |
Předmět: | |
Zdroj: | Blätter der DGVFM. 28:195-219 |
ISSN: | 1864-0303 1864-0281 |
Popis: | The valuation of insurance liabilities plays a central role in the design of any solvency framework. We investigate the notion of “fair value of liabilities” at a conceptional level and compare several implementations which are currently discussed in the Solvency II project. Our focus is on the cost of capital approach based on market information. In particular, we discuss the applicability of arguments borrowed from financial mathematics. |
Databáze: | OpenAIRE |
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