Seminar on Market-consistent Valuation of Insurance Contracts

Opening Remarks Joost Driessen (UvA and Netspar)

The history of today’s seminar…

• March 2005: Start of Netspar

• National research network on pensions, aging, and retirement

• Partners: Pension funds, banks, insurance companies, public sector and universities

• December 2005: Netspar grants 1 million Euro to UvA to stimulate research in finance & insurance

• The result: A new Amsterdam Center for Finance and Insurance (ACFI) at the UvA

• Director: Prof. Antoon Pelsser

Amsterdam Center for Finance and Insurance

• Goal is to bridge the gap between finance and insurance

• Academic research

• Teaching

• Interaction with practitioners

• Current members: Prof. Antoon Pelsser, Prof. Peter Boswijk, Prof. Rob Kaas, Prof. Marc Goovaerts, Dr. Joost Driessen

• 6 affiliated researchers

• and 1 new Postdoc researcher and 2 new PhD students

Bridging the Gap

• The aim of the ACFI is to bridge the gap between finance and actuarial science

• Market-consistent valuation of insurance and pension liabilities

• ACFI also aims to bridge the gap between “academics” and “practitioners”

• Translate theoretical concepts into practical “rules-of-thumb” for the industry (e.g. valuation rules)

• Translate theoretical insights into practical advice (e.g. insights on optimal investment policies into ALM strategies)

Amsterdam Center for Finance and Insurance

• Activities

• Academic research papers

• Applied research papers

• Workshops and seminars

• Courses at UvA and Netspar’s Master’s program

• Today’s seminar

• Kick-off event

• Organized jointly with the Actuarieel Genootschap

Further information

• Website (under development)

www.feb.uva.nl/acfi

• Netspar

www.netspar.nl

• Actuarieel Genootschap

http://www.ag-ai.nl

Program• 09.45 Hans Bühlmann / Mario Wüthrich:

Multidimensional Actuarial Valuation

• 11:00 Torsten Kleinow: Fair Valuation of With-

Profit Insurance Contracts with Interest Rate Guarantees

• 12:00 Lunch (foyer)

• 13:00 Guus Boender / Hans Steehouwer: Market

Consistent Asset and Liability Management

• 14:00 John Hele: How the stock market may view

market-consistent valuations

• 15:00 Break (foyer)

• 15:30 Niels Kortleve: Market-Consistent ALM for

Pension Funds

• 16:30 Antoon Pelsser: Utility-based Pricing of Insurance

Contracts

• 17:30 – 18.30 Drinks (foyer)