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Market valuation in the framework of modern life insurance mathematics

Maja Petrač

Puni tekst: hrvatski pdf 239 Kb

str. 611-619

preuzimanja: 854



In the traditional actuarial life insurance mathematics, liabilities to beneficiaries (technical reserves) are
calculated based on conservative assumptions of mortality and interest rates. However, this approach was
found to be incomplete since it does not contain the market component which has become essential due
to the development of the financial market. Since about 80% of total liabilities of life insurance companies
are made up of technical reserves, this issue has a major impact on the overall performance of insuran
ce companies. The introduction of financial components into the actuarial valuation resulted in actuarial
mathematics using more and more the elements of financial mathematics thus creating new, modern life insurance mathematics. Using a simple example, this paper compares the traditional and market approaches
to valuation. For this purpose, one of the principles of modern life insurance mathematics, the principle
of equivalence, was observed. The above market approach to valuation, together with operational risk management, forms the basis of Solvency II Directive, the new legislative and regulatory framework for insurance and reinsurance companies in the European Union.

Ključne riječi

market valuation, modern life insurance mathematics, principle of equivalence, Solvency II

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Podaci na drugim jezicima: hrvatski

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