October 5th to 7th, 2005 | Basle
For the first time the actuarial associations of Austria,
Germany, The Netherlands and Switzerland have organized seminars
on actuarial topics for participants from these countries. In the
past they only organized seminars for actuaries from Central and
East Europe. In 2004 the European Actuarial Academy (EAA) was founded
as an institutional body for our seminars. We are happy to give
first information about the next international
seminar in Basle with focus on fair value.
Market consistent valuation is changing the landscape of the actuarial
profession. It combines the powerfull apparatus of mathematical
finance with life insurance problems. Since several years it is
in the focus of attention of both academics and practicioners. In
this course we will teach the principles of market consistent valuation
and show some applications.
We aim at practicing actuaries who want to extend their knowledge
to market consistent valuation techniques. We do not focus on the
IASB, but rather on the consistency with finance. Both assets and
liabilities are valued consistently. Using results from mathematical
finance on the valuation of contingent claims, it is possible to
price embedded options and guarantees in insurance liabilities.
The results are consistent with observable market prices. Compared
to classical actuarial valuation methods and embedded value, it
seems that market consistent valuation is a leap forward in the
use of risk management. In that perspective we will concentrate
on risk orientated applications to demonstrate the value of the
The purpose of the 3 day course is to provide participants with
thorough knowledge on:
Also basic knowledge on option pricing and the valuation of derivatives
and guarantees will be provided. However, the focus will be on insurance
products, finance theory is only used to serve the purpose of insurance
- Basics of market consistent valuation
- Term structure of interest rates and fixed income products
- Role of embedded options
- Applications of market consistent valuation.
During the three days there will be lectures in order to explain the
basic concepts and to illustrate examples. During workshops the participants
will be able to gain hands-on experience with the subject using prepared
spreadsheets. Handouts with background texts will
be given separately.