Summer School IA|BE

Preliminary remark: 9.5 CPD points

"Valuation of Embedded Options in Insurance and Pension Contracts"
by Michel Vellekoop, University of Amsterdam

In this course we give an introduction to valuation principles for embedded options in pensions and insurance contracts. We focus on claims with equity and interest rate risk but we also discuss risk factors which cannot be easily hedged in the financial markets. Indeed, we will show that modern actuarial valuation problems are particularly interesting due to the interplay between risks which can be hedged by replicating portfolios and traditional actuarial risks for which this is not the case.
During the course particular attention will be paid to the similarities and differences between valuation principles from an actuarial point of view (premium principles), an econometric point of view (stochastic
deflators) and a mathematical finance point of view (martingale measures).

Prerequisites: http://www.iabe.be/sites/default/files/bijlagen/aankondiging_summer_scho...
Basic knowledge of probability theory in discrete and continuous time;
Valuation principles for deterministic cash flows.