Showing papers on "Embedded value published in 2002"
TL;DR: In this article, the authors compare EVA with Net Present Value and examine the breakeven point in both measures and propose and develop a new measure, the Financial Value Added, which attempts to reflect the virtues of EVA while aiming for a perfect alignment of outcomes with the net present value.
Abstract: The search for measures or criteria to determine the economic and financial performance of a company is ever present in the scientific and professional realm. In recent years there has been, in our opinion, a new element introduced into the equation which is the desire of the giant international consulting firms to market their products. In many cases they design products which are little more than a return to fundamentals. In this paper we will analyse one of these measures, the EVA or Economic Value Added. We will compare it with Net Present Value and examine the breakeven point in both measures, moreover, we will propose and develop a new measure, the Financial Value Added, which attempts to reflect the virtues of EVA while aiming for a perfect alignment of outcomes with the Net Present Value.
13 citations
TL;DR: In this paper, the authors investigate some statistical models for problems of insurance and finance, including Risk Based CapitalNalue at Risk, Asset Liability Management, the distribution of annuities, cash flow evaluations (in the framework of pension funds, embedded value of a portfolio, Asian options) and provisions for claims incurred, but not reported (IBNR).
Abstract: A trend in actuarial finance is to combine technical risk with interest risk. If Y t , t = 1, 2, ... denotes the time-value of money (discount factors at time t) and X t the stochastic payments to be made at time t, the random variable of interest is often the scalar product of these two random vectors V = ΣX t Y t . The vectors X and Y are supposed to be independent, although in general they have dependent components. The current insurance practice based on the law of large numbers disregards the stochastic financial aspects of insurance. On the other hand, introduction of the variables Y 1 , Y 2 ,... to describe the financial aspects necessitates estimation or knowledge of their distribution function. We investigate some statistical models for problems of insurance and finance, including Risk Based CapitalNalue at Risk, Asset Liability Management, the distribution of annuities, cash flow evaluations (in the framework of pension funds, embedded value of a portfolio, Asian options) and provisions for claims incurred, but not reported (IBNR).
13 citations
Journal Article•
7 citations
1 Jan 2002
TL;DR: In this paper, the relationship between the market value and book value in several companies is discussed and the influence of the price-earnings ratio (PER) and the return on equity (ROE) on this relationship is analyzed.
Abstract: This chapter discusses the relationship between the market value and book value in several companies. It also analyzes the influence of the price–earnings ratio (PER) and the return on equity (ROE) on this relationship. The market-to-book ratio is closely related to the PER and the return on equity. The evolution of the market-to-book ratio took place in the United States and is compared with the evolution of the same ratio in the United Kingdom and Spain. It is seen that historically when interest rates have risen, the market-to-book ratio has fallen. The difference between the equity market value and its book value is called “market value added” (MVA), and it is often related with companies' value creation. To associate the difference between the market value and book value with companies' value creation as a general rule is a mistake. It is only true in the case of companies that have just been created, as only then the book value matches the amount invested by shareholders.