Market-Consistent Actuarial Valuation and Risk-Based Capital Assessment
A special issue of Risks (ISSN 2227-9091).
Deadline for manuscript submissions: 15 June 2025 | Viewed by 98
Special Issue Editors
Interests: actuarial science; complex networks
Special Issues, Collections and Topics in MDPI journals
Special Issue Information
Dear Colleagues,
Over the past decade, both scientific research and international regulations (such as the NAIC's Risk Based Capital, Solvency II’s Solvency Capital Requirement, and IFRS17 and IAIS’ Insurance Capital Standard) have underscored the importance of valuing the assets and liabilities of insurance companies using market-based inputs whenever possible. In this evolving framework, actuaries have been called upon to develop risk assessment models that quantify the capital necessary to ensure a company’s solvency within a market-consistent framework.
This approach is relevant to life and non-life insurance companies, pension funds, reinsurance companies, and, more broadly, financial intermediaries operating in the global market. Our aim with this Special Issue is to delve into the technical aspects of financial instrument valuation and capital requirement modelling. We seek to bridge the gap between cutting-edge research and practical applications in the insurance and financial sectors. Particular attention is also devoted to potential systemic relevance of banks and insurance companies and to approaches that are useful for identifying global systemically important financial institutions.
We hope that this Special Issue will highlight and explore the technicalities of financial instrument valuation and capital requirement modelling, with a particular focus on bridging the gap between research and practical applications in the insurance and financial sectors.
Dr. Gian Paolo Clemente
Dr. Francesco Della Corte
Guest Editors
Manuscript Submission Information
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Keywords
- market-consistent valuation
- actuarial valuation
- capital requirement
- technical liabilities assessment
- risk assessment
- systemic risk
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