A central task of modern solvency regulations for the insurance industry, such as the Swiss Solvency Test and Solvency II, is to undertake a fair valuation of their assets and liabilities. A fair valuation method combines techniques from financial mathematics and actuarial science, in order to take into account and be consistent with information provided by the financial markets on the one hand, and actuarial judgement based on generally available data concerning the underlying risks on the other hand. This mini-course shall provide a concise introduction to the framework of fair valuation for insurance liabilities with emphasis on market-consistent and hedge-based valuation techniques.
These valuation techniques are essentially based on measure theory and conditional probability. As such, the content of this course underpins some fundamental theories in Applied Probability and provides a good opportunity for the students to learn some concrete applications of relevant theoretical results in the field of Applied Probability. Examples and exercises, in particular, are presented to students for a comprehensive understanding of this topic. Some credits may be awarded to participants at the end of this mini-course.
Prof. Dr. Jan Dhaene, who is the head of the Actuarial Research Group at Katholieke Universiteit Leuven (KUL) in Belgium, is a well-known scholar in actuarial science. By virtue of his reputation, he has been invited to give this lecture on fair valuation methods to the students at The University of Tokyo, Japan, University of Tehran, Iran and Central University of Finance and Economics, China. After the one-day mini-course, Prof. J. Dhaene shall give another academic talk for students and scholars to share his most recent research about this topic.
Day one - 3rd June 2019
- 10.00 -12.15 Mini-course part I (with coffee-break at 11.00 am)
- 12.15-14.00 Lunch break (lunch not provided)
- 14.00-16.00 Mini-course part II (with coffee-break at 15.00 pm)
- Event Dinner
Day Two - 4th June 2019
- 13.15-14.15 Academic presentation