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An academic view on the illiquidity premium and market-consistent valuation in insurance

Wüthrich, Mario

In: European Actuarial Journal, 2011, vol. 1, no. 1, p. 93-105

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    Titre
    • An academic view on the illiquidity premium and market-consistent valuation in insurance
    Auteur
    • Wüthrich, Mario. RiskLab, Department of Mathematics, ETH Zurich, 8092, Zurich, Switzerland
    Type de document
    • Postprint
    Identifiant OAI-PMH
    • oai:doc.rero.ch:313122
    Summary
    The insurance industry currently discusses to which extent they can integrate an illiquidity premium into their best estimate considerations of insurance liabilities. The present position paper studies this question from an actuarial perspective that is based on market-consistent valuation. We conclude that mathematical theory does not allow for discounting insurance liabilities with an illiquidity spread