The valuation of stochastic insurance liabilities using a structural model approach
Keyword(s):
Liability drives insurers' businesses. This paper examines the structural model approach of credit risk for the valuation of insurance liabilities and insurers' equity, and considers a stochastic process for liability. Grosen and Jørgensen's (2002) study presents the current approach taken by insurers; however, the model's structure is very simple, and its liability structure in particular has a deterministic time function. In contrast, we analyze a model that analytically evaluates an insurer's liability with the stochastic process. Furthermore, we analyze the model's default option originally presented by Myers and Read (2001).
2015 ◽
Vol 47
(4)
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pp. 1097-1128
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Keyword(s):
2005 ◽
Vol 56
(4)
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pp. 889-911
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2021 ◽
Vol 2
(1)
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pp. 120-126
2015 ◽
Vol 50
(5)
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pp. 963-985
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