Journal Article10.1017/S1357321700003226
Current Developments in Embedded Value Reporting
P. J. L. O'Keeffe,A. J. Desai,K. Foroughi,G. J. Hibbett,A. F. Maxwell,A. C. Sharp,N. H. Taverner,M. B. Ward,F. J. P. Willis +8 more
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TL;DR: In this paper, the authors review the developments in reporting traditional embedded value and summarise some of the reasons why this is now undergoing change and propose the market-consistent embedded value framework as a way forward to help provide guidance in some of these areas, in particular on the choice of discount rate and on calibration of stochastic techniques used to value embedded options and guarantees.
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Abstract: This paper reviews the developments in reporting of traditional embedded value and summarises some of the reasons why this is now undergoing change. It considers the purpose of an embedded value calculation and the effect of differing attitudes to risk. It comments on the recently developed European Embedded Value Principles and sets out the main areas where scope remains to apply judgement.The paper proposes the market-consistent embedded value framework as a way forward to help provide guidance in some of these areas, in particular on the choice of discount rate and on calibration of stochastic techniques used to value embedded options and guarantees. The paper recognises that market-consistent embedded values are in relative infancy and sets out areas for possible future development.
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Citations
•Posted Content
Financing the embedded value of life insurance portfolios
TL;DR: In this article, a methodology is proposed to derive a maximum lending amount from European Embedded Value (EEV) figures without much additional data requirements from the originating insurer, which is similar to that of other financing areas, e.g. real estate finance, where first a prudent best estimate valuation is done and later risk deductions are performed in the form of applying loan to value ratios.
61
Assessing the cost of capital for longevity risk
TL;DR: In this paper, a risk-neutral market-consistent valuation of a portfolio of immediate life annuities is proposed, which is based on the risk of systematic deviations from the forecasted mortality trend.
36
Market‐consistent embedded value in non‐life insurance: how to measure it and why
TL;DR: In this article, the concept of market-consistent embedded value (MCEV) is transferred from life to non-life insurance and applied to a German nonlife insurance company.
•Posted Content
An experiment in 'fair value' accounting? the state of the art in research and thought leadership on accounting for life assurance in the uk and continental europe
TL;DR: In this article, the P.D. Leake trust associated with the Institute of Chartered Accountants in England and Wales (ICAEW) is gratefully acknowledged for financial support and technical advice from Deloitte and KPMG.
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•Dissertation
How does the life insurance business perform and behave: the case of the UK industry
Muhammad Almezweq
- 01 Jan 2015
TL;DR: In this paper, the authors present a valuation method based on the assumption that policyholders' basic expectation that their saved funds shall be invested with value growth higher than inflation in the real goods market, and take this as the benchmark to assess the reported value of policyholders’ assets.
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