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:
Dhaene J. (2022). Financial valuation: arbitrage-free pricing, pandemics and longevity. Research report AFI-22002, KU Leuven. [pdf]
– Solutions to exercises and examples: [pdf]
– 6 web lectures: [youtube] or [bilibili]
Chapter 2: Fair valuation of insurance liabilities: Combining `financial market’-consistency and `actuarial model’-consistency in a single period framework.
– Presentation:
Dhaene J. (2022). Fair valuation of insurance liabilities: combining ‘financial market’-consistency and ‘actuarial model’-consistency in a single period framework. Research report AFI-22003, KU Leuven. [pdf]
– Solutions to exercises and examples: [pdf]
– 12 web lectures: [youtube] or [bilibili]
Jan Dhaene 