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Prof. Dr. Damir Filipovic

— abgelegt unter:

Replicating Portfolio Approach to Capital Calculation

Was
  • Mathematisches Kolloquium
Wann 13.10.2016
von 17:00 bis 18:00
Wo Hörsaal II, Albertstr. 23b
Termin übernehmen vCal
iCal

Abstract:

The replicating portfolio (RP) approach to the calculation of capital for life insurance portfolios is an industry standard. The RP is obtained from projecting the terminal loss of discounted asset liability cash flows on a set of factors generated by a family of financial instruments that can be efficiently simulated. We provide the mathematical foundations and a novel dynamic and path-dependent RP approach for real-world and risk-neutral sampling. We show that the RP approach yields asymptotically consistent capital estimators. We illustrate the tractability of the RP approach by two numerical examples.

 

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