The valuation of insurance liabilities : a framework based on first principles

Andrea Bergesio (University of Zurich and Swiss Finance Institute), Paul Huber (Swiss Re), Pablo Koch-Medina (University of Zurich and Swiss Finance Institute), Lutz Wilhelmy (Swiss Re)

We describe a framework for the valuation of insurance liabilities that relies on first principles in finance theory. Key features of the economic value of liabilities are its market-consistency and the inclusion of the costs of financial frictions. We compare this framework to the Solvency II approach and highlight the differences

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Year of publication:	2020 ; This version: 24 April 2019
Authors:	Bergesio, Andrea ; Huber, Paul ; Koch Medina, Pablo ; Wilhelmy, Lutz
Publisher:	Geneva : Swiss Finance Institute
Subject:	Insurance \| Valuation \| Financial Frictions \| Market Consistency \| Solvency II \| Versicherung \| Theorie \| Theory