Research Project 9

RP9. Time-Consistent & Market-Consistent Actuarial Valuations (Ahmad Salahnejhad Ghalehjooghi)

WP 4, Leading Partner: Maastricht University. Supervisor: Prof. Antoon Pelsser

Recent theoretical results establish that time-consistent valuations (i.e. pricing operators) can be created by backward iteration of one-period valuations. In this project we plan to investigate the continuous-time limits of well-known actuarial premium principles when such backward iteration procedures are applied. Furthermore, we plan to study the market-consistent restrictions of these pricing principles. This RP has clear connections with RPs 1, 2, 6 and 7. In particular, with RP 1 that is concerned with the pricing and hedging of risks in a minimum-variance setting, and RP 7 which is concerned with modelling and pricing volatility risk. RP 14 will potentially implement the valuations on a distributed computing platform.

Results

Deliverables

DELIVERABLE 4.3 on project 9 (S. Salahnejhad, Maastricht)

  • Salahnejhad, S. (2015), "Market-Consistent Valuation of Pension Liabilities" [download]
  • Pelsser, A. & Salahnejhad Ghalehjooghi, S. (2015), "Time-Consistent Actuarial Valuations" [download]

Publications

  • Pelsser, A. and Salahnejhad Ghalehjooghi, A. (2016), "Time-consistent actuarial valuations", Insurance: Mathematics and Economics, Vol. 66, pp. 97-112.

Final Conference

Ahmad Salahnejhad Ghalehjooghi (Maastricht University): Time-Consistent & Market-Consistent Actuarial Valuations