Market Value of Insurance Contracts with Profit Sharing
PIETER BOUWKNEGT
(Actuary at Nationale‐Nederlanden in Rotterdam, the Netherlands)
ANTOON PELSSER
(Professor of mathemat‐ical finance at Erasmus University Rotterdam in the Netherlands)
229
Abstract
The valuation of insurance contracts using a market value (i.e., fair value) approach has recently attracted considerable interest. The authors illustrate how to determine the market value of a with‐profits insurance policy, e.g., a variable annuity or other insurance policy with a profit‐sharing provision. The method is based on finding comparables, i.e., a set of financial instruments that closely replicate the cash flows of the policy.
Citation
BOUWKNEGT, P. and PELSSER, A. (2002), "Market Value of Insurance Contracts with Profit Sharing", Journal of Risk Finance, Vol. 3 No. 3, pp. 60-64. https://doi.org/10.1108/eb043495
Publisher
:MCB UP Ltd
Copyright © 2002, MCB UP Limited