INSURANCE VALUATION: A TWO-STEP GENERALISED REGRESSION APPROACH

Current approaches to fair valuation in insurance often follow a two-step approach, combining quadratic hedging with application of a risk measure on the residual liability, to obtain a cost-of-capital margin. In such approaches, the preferences represented by the regulatory risk measure are not reflected in the hedging process. We address this issue by an alternative two-step hedging procedure, based on generalised regression arguments, which leads to portfolios that are neutral with respect to a risk measure, such as Value-at-Risk or the expectile. First, a portfolio of traded assets aimed at replicating the liability is determined by local quadratic hedging. Second, the residual liability is hedged using an alternative objective function. The risk margin is then defined as the cost of the capital required to hedge the residual liability. In the case quantile regression is used in the second step, yearly solvency constraints are naturally satisfied; furthermore, the portfolio is a risk minimiser among all hedging portfolios that satisfy such constraints. We present a neural network algorithm for the valuation and hedging of insurance liabilities based on a backward iterations scheme. The algorithm is fairly general and easily applicable, as it only requires simulated paths of risk drivers.

Motivating data contributions via a distinct career currency

If collecting research data is perceived as poorly rewarded compared to data synthesis and analysis, this can slow overall research progress via two effects. People who have already collected data may be slow to make it openly accessible. Also, researchers may reallocate effort from collecting fresh data to synthesizing and analysing data already accessible. Here, we advocate for a second career currency in the form of data contributions statements embedded within applications for jobs, promotions and research grants. This workable step forward would provide for peer opinion to operate across thousands of selection and promotion committees and granting panels. In this way, fair valuation of data contributions relative to publications could emerge.

The importance of operating agricultural equipment in use by fair value from the management situation in small and medium-sized enterprises in the transitional country: Example of the Republic of Serbia

This study highlights the importance of using real-life values of agricultural equipment in real financial statements in medium-sized enterprises. The authors have adopted the essence of nature related to the estimation of agricultural equipment, that is, he has stated that in the agricultural production of transition countries, agricultural equipment has been used for more than five decades. This was a key assumption adopted by the authors of this study. In addition, the presentation of realistic financial statements should include an account of the real value of agricultural equipment, which essentially leads to a periodic fair valuation of agricultural equipment available to agricultural producers in transition countries.

REFLECTED BSDES WITH STOCHASTIC MONOTONE GENERATOR AND APPLICATION TO VALUING AMERICAN OPTIONS

In this paper, we prove the existence and uniqueness of the solution to backward stochastic differential equations with lower reflecting barrier in a Brownian setting under stochastic monotonicity and general increasing growth conditions. As an application, we study the fair valuation of American options.

Social Discourse In Malaysia’s Indie Masterpieces / Wacana Kemasyarakatan Dalam Karya-Karya Indie Di Malaysia

This research aimed to identify the social discourse presented in five Malaysia’s Indie novels entitled Aku Rindu 90’s (2012), Surat-Surat Untuk Kaherah (2013), Kunang Pesisir Morten (2013), Tuhan Jaga Dia Untukku (2017) and Budak Kelas Belakang (2018). This is a qualitative research using Georg Lukacs’ theory of realism (1963). Structural analysis is used to identify the views, visions, hopes and significant values for efforts to develop and improve the life quality of society. The objectives of this research were to identify Indie writer’s thoughts towards developing and improving the life quality of community, to analyse Indie novels which are equivalent to other serious mainstream media and to determine a new definiton for Indie masterpieces which evolving as a new literary stream in Malaysia. Research findings indicate that in the society there was a complete social discourse covering social, educational, economic, political and religious aspect. The findings also showed that Indie masterpieces conveyed serious thinking that particularly impact society on socials, educational, economic, political and religious developmet in a society. Indie masterpieces were also found to be on par with other serious mainstream media. The findings also showed that positive and fair valuation should be given towards these masterpieces. All findings have shown that Indie masterpieces are equivalent to other literary genres in Malaysia.

A review of literature on IFRS in Africa

Purpose This paper is an appraisal of existing literature on IFRS in Africa. In a bid to determine what exists and what is missing in the literature, the authors have reviewed three streams of studies, namely, adoption, compliance/harmonisation and consequences of IFRS in Africa, with the aim to suggest what remains to be investigated on IFRS in Africa. Design/methodology/approach This paper uses a systematic review approach including synthesis of a variety of archival materials. Articles on Africa were summarised under three main headings: adoption, compliance/harmonisation and consequences of IFRS. Findings This review finds limited research on IFRS in Africa. It reveals that although past cross-continent studies claimed to cover Africa, they are limited to only a few countries and mainly predominated by South Africa. The authors identified only one study that investigated the impact of economic and cultural factors on IFRS adoption in Africa and few cross-continent studies but considering only very few African countries. Regarding compliance, four studies concluded that compliance with IFRS is dependent on a firm’s characteristics. The authors also identified that some of the generalised findings from prior research on consequences of IFRS are of limited significance in the African context. Originality/value This study suggests the determinants of adoption, compliance and consequences of IFRS in Africa are different if studied separately. It identifies some gaps in the literature that require further research, specifically, IFRS on taxation, fair valuation practices and the institutional capacities of countries to implement the standards.

FAIR VALUATION OF INSURANCE LIABILITY CASH-FLOW STREAMS IN CONTINUOUS TIME: APPLICATIONS

Delong et al. (2018) presented a theory of fair (market-consistent and actuarial) valuation of insurance liability cash-flow streams in continuous time. In this paper, we investigate in detail two practical applications of our theory of fair valuation. In the first example, we consider the fair valuation of a terminal benefit which is contingent on correlated tradeable and non-tradeable financial risks. In the second example, we consider a portfolio of unit-linked contracts contingent on a non-tradeable insurance and a tradeable financial risk. We derive partial differential equations (PDEs) which characterize the continuous-time fair valuation operators in these two examples and we find explicit solutions to these PDEs. The fair values of the liabilities are decomposed into the best estimate of the liability and a risk margin. The arbitrage-free representations of the fair values of the liabilities are derived and the dynamic hedging strategies associated with the continuous-time fair valuation operators are also established. Detailed interpretations of the results, which should be useful both for researchers and practitioners, are provided.