Two-step actuarial valuations

Karim Barigou (1) , Daniël Linders (2) , Fan Yang (3)

1 ISFA - Institut de Science Financière et d'Assurances
2 UvA - University of Amsterdam [Amsterdam] = Universiteit van Amsterdam
3 University of Waterloo [Waterloo]

We introduce the class of actuarial-consistent valuation methods for insurance liabilities which depend on both financial and actuarial risks, which imposes that all actuarial risks are priced via standard actuarial principles. We propose to extend standard actuarial principles by a new actuarialconsistent procedure, which we call "two-step actuarial valuations". In the coherent setting, we show that actuarial-consistent valuations are equivalent to two-step actuarial valuations. We also discuss the connection with "two-step market-consistent valuations" from Pelsser and Stadje (2014). In particular, we discuss how the dependence structure between actuarial and financial risks impacts both actuarial-consistent and market-consistent valuations.

Mots clés: Fair valuation; two-step valuation; actuarial consistent; market consistent; Solvency II; incomplete market

Domaines: Probabilités [math.PR]; Pricing [q-fin.PR]

Karim Barigou, Daniël Linders, Fan Yang. Two-step actuarial valuations. 2021. ⟨hal-03327710v1⟩