On a unification of the theories of financial and actuarial valuation: Merging market-consistency and actuarial considerations.
Abstract: in this talk, we investigate the fair valuation of liabilities related to an insurance policy or portfolio in a single period framework. We define a fair valuation as a valuation which is both market-consistent (mark-to-market for any hedgeable part of a claim) and actuarial (mark-to-model for any claim that is independent of financial market evolutions). We introduce the class of hedge-based valuations, where in a first step of the valuation process, a 'best hedge'for the liability is set up, based on the traded assets in the market, while in a second step, the remaining part of the claim is valuated via an actuarial valuation. We also introduce the class of two-step valuations, the elements of which are very closely related to the two-step valuations which were introduced in Pelsser and Stadje (2014). We show that the classes of fair, hedge-based and two-step valuations are identical.
Latest Developments in Financial Risk Assessment
Abstract: Summarizing the recent developments in financial risk models, this new trends will be discussed. Financial industry as known integrate risk model outputs into daily decision processes. In addition, banking and insurance regulations also are based on risk estimates. However, Regarding the performance of conventional Risk Models after the 2008 Global Crisis, various question marks are formed. Over the past decade, new methods and alternatives have been proposed. However, during the current period of we question of whether it is useful in forecasting financial crises. Recent trends in risk models new trends in the academic and academic world will be discussed. Questions such as What are the Financial Risks ?, How to Measure ?, Financial Regulations Can Be Made Based on Risk?, What Has Changed After the Global Credit Crisis, Types of New Risk: What is Systemic Risk and How to Measure, New Generation Risk Measurement Methods? What Do Risk Management Expect from Models for Developing Countries and Developed Countries ? Will be responded.