It is a challenging task to read the balance sheet of an insurance company. This derives from the fact that different positions are often measured by different yardsticks. Assets, for example, are mostly valued at market prices whereas liabilities a
In classical life insurance mathematics the obligations of the insurance company towards the policy holders were calculated on artificial conservative assumptions on mortality and interest rates. However, this approach is being superseded by develop
The normal inverse Gaussian process has been used to model both stock returns and interest rate processes. Although several numerical methods are available to compute, for instance, VaR and derivatives values, these are in a relatively undeveloped s
