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Essays on valuation and risk management for insurers
Plat, H.J.
Publication date 2011
Link to publication
Citation for published version (APA):
Plat, H. J. (2011). Essays on valuation and risk management for insurers.
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Essays on Valuation and Risk Management for I
n
surers
Essays on Valuation and Risk
Management for Insurers
In recent years there has been increasing attention of the insurance industry for market consistent valuation of insurance liabilities and the quantification of insurance risks. Important drivers of this development are the new regulatory requirements resulting from the introduction of IFRS 4 Phase 2 and Solvency 2. Furthermore, valuation of insurance liabilities and measuring and managing the risks are the cornerstones of running an insurance company successfully. Consequently, the measurement of future cash flows and its uncertainty becomes more and more important.
This thesis is a combination of papers on several issues related to valuation and risk management for insurers. Valuation of several ‘embedded options’ in insurance products will be dealt with. Furthermore, stochastic models for longevity, mortality and general insurance risks are developed. All models and concepts are directly applicable in the day-to-day business of insurance companies.
Richard Plat (1976) holds a Master’s degree in
Actuarial Science at the University of Amsterdam. He presented his research at various international conferences and published several articles in the journal ‘Insurance: Mathematics and Economics’. Richard currently holds a position of Senior Risk Manager at Eureko / Achmea Holding. He specializes in all aspects of valuation and risk management.
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