Actuarial and financial valuation principles

In this course, we define and investigate financial valuations, actuarial valuations, market-consistent valuations, model-consistent valuations and fair valuations. The class of fair valuations is shown to be equivalent to the class of hedge-based valuations and also equivalent to the class of two-step valuations. The theoretical concepts and results introduced in this course are illustrated by simple numerical examples.

Chapter 1: Financial valuation: arbitrage-free pricing, pandemics and longevity.
– Presentation: [pdf]
– Solutions to exercises and examples: [pdf]
– 6 web lectures: [youtube]

Chapter 2: Fair valuation of insurance liabilities: Combining `financial market’-consistency and `actuarial model’-consistency in a single period framework.
– Presentation: [pdf]
– Solutions to exercises and examples: [pdf]
– 12 web lectures: [youtube]