tailieunhanh - Actuarial Versus Financial Pricing Of Insurance

For States that do not seek to operate a State-based Exchange or a Partnership with the Federally- facilitated Exchange, HHS will establish and operate a Federally-facilitated Exchange. In such instances, a State may elect to run reinsurance and may elect to coordinate with CMCS on decisions and protocols for either an eligibility assessment or eligibility determination model in the Federally- facilitated Exchange. HHS will work in collaboration with States in all areas, particularly in areas where a State can leverage existing processes, to ensure the best, most effective experience for its residents. Regardless of the model, HHS intends to work in. | Actuarial versus financial pricing of 1 insurance Professor Dr. Paul Embrechts Departement of Mathematics Swiss Federal Institute of Technology Zurich CH-8092 Ziirich Switzerland email embrechts@ http embrechts tel. 411 632 3419 FAX 411 632 1523 Taper presented at the conference on Risk Management of Insurance Firms Financial Institutions Center The Wharton School of the University of Pennsylvania Philadelphia May 15-17 1996. An earlier version of this paper appeared in Surveys Math. Indust. 5 1 6-22 1998 In Russian . 1 Introduction This paper grew out of various discussions with academics and practitioners around the theme of the interplay between insurance and finance. Some issues were - Deregulation and the increasing collaboration between insurance markets and capital markets. - The emergence of finance related insurance products as there are catastrophe futures and options PCS options index linked policies catastrophe bonds . - The emergence of integrated risk management practices for financial institutions see Doherty 2000 . - Asset-liability and risk-capital based modelling think of DFA Dynamic Financial Analysis DST Dynamic Solvency Testing and EV Embedded Value subsuming simple liability modelling as the industry standard. - The emergence of financial engineering as a widely accepted discipline and its interface with actuarial science. Besides these more general issues specific questions were recently discussed in papers like Gerber and Shiu 1994 Embrechts and Meister 1997 and the references therein. An interesting approach on the financial pricing of insurance together with material for further reading is to be found in Phillips and Cummins 1995 . An excellent historical discussion on the evolution of actuarial versus financial pricing and hedging is Hans Biihlmann s lecture Mathematical paradigms in insurance and finance. A web-version of this lecture is to be found under http Buhlmann .