The valuation of insurance contracts using a market value approach, also known as the fair value approach has recently attracted a lot of interest. Seconding this trend, we would like to illustrate in this paper how we can determine the market value of a with-profits insurance policy. The method...

A broad class of exotic interest rate derivatives can be valued simply by adjusting the forward interest rate. This adjustment is known in the market as convexity correction. Various ad hoc rules are used to calculate the convexity correction for different products, many of them mutually...

We compare single factor Markov-functional and multi factor market models for hedging performance of Bermudan swaptions. We show that hedging performance of both models is comparable, thereby supporting the claim that Bermudan swaptions can be adequately risk-managed with single factor models....

We investigate whether risk-taking for resurrection type of risk preference (non-constant risk aversion) can increase the probability of achieving inflation-indexed pension benefits at retirement, especially when the starting position is underfunded. By maximizing the expected utility of the...

We consider evaluation methods for payoffs with an inherent financial risk as encountered for instance for portfolios held by pension funds and insurance companies. Pricing such payoffs in a way consistent to market prices typically involves combining actuarial techniques with methods from...

This paper provides a dual formulation of the optimal consumption problem with internal multiplicative habit formation. In this problem, the agent derives utility from the ratio of consumption to the internal habit component. Due to this multiplicative specification of the habit model, the...

We investigate whether risk-taking for resurrection type of risk preference (non-constant risk aversion) can increase the probability of achieving inflation-indexed pension benefits at retirement, especially when the starting position is underfunded. By maximizing the expected utility of the...

We consider evaluation methods for payoffs with an inherent financial risk as encountered for instance for portfolios held by pension funds and insurance companies. Pricing such payoffs in a way consistent to market prices typically involves combining actuarial techniques with methods from...

We introduce a robust investment strategy to hedge long dated liabilities under model misspecification and incomplete bond markets. A robust agent who worries about misspecified bond premia follows a min-max expected shortfall criterion to protect against model uncertainty. We employ a backward...

We consider evaluation methods for payoffs with an inherent financial risk as encountered for instance for portfolios held by pension funds and insurance companies. Pricing such payoffs in a way consistent to market prices typically involves combining actuarial techniques with methods from...