摘要翻译：
本文研究了在偿付能力II和在某种程度上国际财务报告准则4的背景下保险负债的市场一致估值。我们提出了一个明确和一致的保险负债估值框架，其中包括偿付能力II方法作为一个特例。拟议框架的基础是由市场价格可靠的资产组合在多个（一年）时间内动态复制，允许“有限责任”，即复制通常不一定能继续下去。资产组合由两部分组成：（1）市场价格决定保险责任价值的资产；（2）用于支付不可复制风险的资本金。资本金产生资本成本；框架的主要外源性投入是资本资金投入何时可接受的条件。我们研究了价值的存在性，并表明价值的精确计算必须从保险责任的生命周期结束时开始，在时间上递归地向后进行。本文仅部分考虑的主要问题是价值的唯一性。我们导出了价值的上界，对于无风险的一年期零息债券复制的特殊情况，我们给出了计算价值的显式递归公式。偿付能力II及国际财务报告准则第4号之估值乃以“最佳估计”及“风险边际”之和作为估值基础。在我们的框架中，事实证明这种分裂不是自然的。然而，我们证明了分裂可以被构造为一个简化，并且在适当的条件下它提供了值的一个上界。我们通过一个简单的例子显式地计算值来说明一般的结果。
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英文标题：
《Market-consistent valuation of insurance liabilities by cost of capital》
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作者：
Christoph Moehr
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最新提交年份：
2010
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分类信息：

一级分类：Quantitative Finance        数量金融学
二级分类：Pricing of Securities        证券定价
分类描述：Valuation and hedging of financial securities, their derivatives, and structured products
金融证券及其衍生产品和结构化产品的估值和套期保值
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一级分类：Quantitative Finance        数量金融学
二级分类：General Finance        一般财务
分类描述：Development of general quantitative methodologies with applications in finance
通用定量方法的发展及其在金融中的应用
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英文摘要：
  This paper investigates market-consistent valuation of insurance liabilities in the context of, for instance, Solvency II and to some extent IFRS 4. We propose an explicit and consistent framework for the valuation of insurance liabilities which incorporates the Solvency II approach as a special case.   The proposed framework is based on dynamic replication over multiple (one-year) time periods by a portfolio of assets with reliable market prices, allowing for "limited liability" in the sense that the replication can in general not always be continued. The asset portfolio consist of two parts: (1) assets whose market price defines the value of the insurance liabilities, and (2) capital funds used to cover risk which cannot be replicated. The capital funds give rise to capital costs; the main exogenous input of the framework is the condition on when the investment of the capital funds is acceptable.   We investigate existence of the value and show that the exact calculation of the value has to be done recursively backwards in time, starting at the end of the lifetime of the insurance liabilities. The main question only partially considered in this paper is the uniqueness of the value. We derive upper bounds on the value and, for the special case of replication by risk-free one-year zero-coupon bonds, explicit recursive formulas for calculating the value.   Valuation in Solvency II and IFRS 4 is based on representing the value as a sum of a "best estimate" and a "risk margin". In our framework, it turns out that this split is not natural. Nonetheless, we show that a split can be constructed as a simplification, and that it provides an upper bound on the value under suitable conditions. We illustrate the general results by explicitly calculating the value for a simple example.
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PDF链接：
https://arxiv.org/pdf/1101.0079