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Contribution Details
| Type | Working Paper |
| Scope | Discipline-based scholarship |
| Title | The Valuation of Insurance Liabilities: A Framework Based on First Principle |
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| Institution | University of Zurich |
| Series Name | Swiss Finance Institute Research Paper |
| Number | 20-03 |
| Date | 2020 |
| Abstract Text | 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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| Digital Object Identifier | 10.2139/ssrn.3386182 |
| Other Identification Number | merlin-id:19493 |
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