Abstract
The insurance industry currently discusses to which extent they can integrate an illiquidity premium into their best estimate considerations of insurance liabilities. The present position paper studies this question from an actuarial perspective that is based on marketconsistent valuation. We conclude that mathematical theory does not allow for discounting insurance liabilities with an illiquidity spread.
Page
93-105
Year
0
Categories
New Valuation Techniques
Publications
European Actuarial Journal
