Hedging and Cash Flows in the Presence of Taxes and Expenses in Life and Pension Insurance

Publikation: Bidrag til tidsskrift › Tidsskriftartikel › Forskning › fagfællebedømt

Standard

Hedging and Cash Flows in the Presence of Taxes and Expenses in Life and Pension Insurance. / Buchardt, Kristian; Møller, Thomas.

I: Risks, Bind 6, Nr. 3, 68, 2018.

Publikation: Bidrag til tidsskrift › Tidsskriftartikel › Forskning › fagfællebedømt

Harvard

Buchardt, K & Møller, T 2018, 'Hedging and Cash Flows in the Presence of Taxes and Expenses in Life and Pension Insurance', Risks, bind 6, nr. 3, 68. https://doi.org/10.3390/risks6030068

APA

Buchardt, K., & Møller, T. (2018). Hedging and Cash Flows in the Presence of Taxes and Expenses in Life and Pension Insurance. Risks, 6(3), [68]. https://doi.org/10.3390/risks6030068

Vancouver

Buchardt K, Møller T. Hedging and Cash Flows in the Presence of Taxes and Expenses in Life and Pension Insurance. Risks. 2018;6(3). 68. https://doi.org/10.3390/risks6030068

Author

Buchardt, Kristian ; Møller, Thomas. / Hedging and Cash Flows in the Presence of Taxes and Expenses in Life and Pension Insurance. I: Risks. 2018 ; Bind 6, Nr. 3.

Bibtex

@article{18642f2e3f004cf5a3bd1fc0e8326ea2,
title = "Hedging and Cash Flows in the Presence of Taxes and Expenses in Life and Pension Insurance",
abstract = "In investment and insurance contracts, certain stipulated payments may depend on the hedging strategy. We study the problem of calculation, hedging and valuation of such cash flows, by considering a payment process in a setup with taxes and investment costs that are functions of the investment returns or the current value of the hedging strategy. We determine the market value of the combined liability and decompose the value into the tax part, the investment cost part and the benefit part, and we determine the associated hedging strategies. Moreover, we identify the expected future tax payments and investment cost cash flows. Our results show that the current Danish insurance accounting practice for taxes is in general conservative, when considered in an idealized setting with symmetric and continuously-paid taxes. Finally, we consider the special case of affine interest rates, where explicit results can be obtained, and study some numerical results.",
keywords = "market consistent valuation, complete market, insurance accounting, Solvency 2",
author = "Kristian Buchardt and Thomas M{\o}ller",
year = "2018",
doi = "10.3390/risks6030068",
language = "English",
volume = "6",
journal = "Risks",
issn = "2227-9091",
publisher = "MDPI",
number = "3",

}

RIS

TY - JOUR

T1 - Hedging and Cash Flows in the Presence of Taxes and Expenses in Life and Pension Insurance

AU - Buchardt, Kristian

AU - Møller, Thomas

PY - 2018

Y1 - 2018

N2 - In investment and insurance contracts, certain stipulated payments may depend on the hedging strategy. We study the problem of calculation, hedging and valuation of such cash flows, by considering a payment process in a setup with taxes and investment costs that are functions of the investment returns or the current value of the hedging strategy. We determine the market value of the combined liability and decompose the value into the tax part, the investment cost part and the benefit part, and we determine the associated hedging strategies. Moreover, we identify the expected future tax payments and investment cost cash flows. Our results show that the current Danish insurance accounting practice for taxes is in general conservative, when considered in an idealized setting with symmetric and continuously-paid taxes. Finally, we consider the special case of affine interest rates, where explicit results can be obtained, and study some numerical results.

AB - In investment and insurance contracts, certain stipulated payments may depend on the hedging strategy. We study the problem of calculation, hedging and valuation of such cash flows, by considering a payment process in a setup with taxes and investment costs that are functions of the investment returns or the current value of the hedging strategy. We determine the market value of the combined liability and decompose the value into the tax part, the investment cost part and the benefit part, and we determine the associated hedging strategies. Moreover, we identify the expected future tax payments and investment cost cash flows. Our results show that the current Danish insurance accounting practice for taxes is in general conservative, when considered in an idealized setting with symmetric and continuously-paid taxes. Finally, we consider the special case of affine interest rates, where explicit results can be obtained, and study some numerical results.

KW - market consistent valuation

KW - complete market

KW - insurance accounting

KW - Solvency 2

U2 - 10.3390/risks6030068

DO - 10.3390/risks6030068

M3 - Journal article

VL - 6

JO - Risks

JF - Risks

SN - 2227-9091

IS - 3

M1 - 68

ER -

ID: 209169135