Andrea Bergesio, P. Huber, Pablo Koch-Medina, Lutz Wilhelmy
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The Valuation of Insurance Liabilities: A Framework Based on First Principles
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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