However several insurance compagnies going into default in the nineties of the previous century has drawn attention of the industry to the pricing of options embedded in insurance contracts.
More recently, developments on the side of the different industry regulators have led to a more holistic adoption of the ideas from finance within the financial management of an insurer, albeit slowly.
This thesis is concerned with Asset Liability Modeling, i.e. the modeling of the value dynamics of assets and liabilities of an insurance compagny or pension fund. In the thesis we develop methods to:
* Model and value the insurance contract liabilities as financial contracts, possibly containing a derivative component in the form of an ambedded option.
* Model and measure the financial and non-financial risks of a life insurance company.
David Schrager (1978) holds a M.Sc. in both Econometrics (cum laude) and Actuarial Science from the University of Amsterdam. He has worked as a consultant in the insurance industry and as a derivative specialist for a large bank. During his Ph.D. at the Quantitative Economics department of the University of Amsterdam he worked at Nationale-Nederlanden on ALM and embedded options. He has taught several courses on ALM and regularly gives seminars to practicing actuaries on Fair Value on behalf of the Actuarieel Genootschap and the European Actuarial Academy. David currently works as a risk manager in the insurance industry. He specializes in pricing non-hedgeable risks, risk transfers and product design.
David Schrager, Essays on Asset Liability Modelling. Tinbergen Institute Research Series, 2007.
Summary of the book
Order the book here
More items on Business Governance
Rekenkamer waarschuwt dat bekostiging van universiteiten uit het lood is
Bewustwording is belangrijk, maar je moet er ook wel wat mee doen
Reflectieonderwijs bereidt student beter voor op stage
Lector van het Jaar wil duurzaamheidstransitie met jongeren aan het stuur
VSNU blij, maar medewerkers boos over coronabesluit Van Engelshoven