Fair Valuation of Life Insurance Liabilities:Integrating Demographic and Market Risk

The aim of this paper is to assess the joint impact of demographic and financial risk on the market valuation of life insurance liabilities. The model builds on the contingent claim approach pioneered by [2] and later extended by [4, 1]. In particular, we analyze the extent to which the solvency of an insurance company is affected by various kinds of guarantees offered to policyholders