Market Value of Liabilities Mortality Risk |
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Authors: | Henk van Broekhoven AAG |
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Affiliation: | Department of Corporate Insurance Risk Management , ING Group, AA 06.18, P.O. Box 810 , 1000 AV Amsterdam , The Netherlands |
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Abstract: | Abstract Market values of the invested assets are frequently published. For most insurance liabilities, there are no published market values and, therefore, these have to be constructed. This construction can be based on a best estimate and a price for the risks in the liabilities. This paper presents a model explaining how the best estimate and the price of mortality risk can be constructed. Several methods to describe the risks are already known. The purpose of this paper is to describe a method to determine the mortality risk in a practical way. |
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