Artikel
Hedging and cash flows in the presence of taxes and expenses in life and pension insurance
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.
- Language
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Englisch
- Bibliographic citation
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Journal: Risks ; ISSN: 2227-9091 ; Volume: 6 ; Year: 2018 ; Issue: 3 ; Pages: 1-25 ; Basel: MDPI
- Classification
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Wirtschaft
- Subject
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market consistent valuation
complete market
insurance accounting
Solvency 2
- Event
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Geistige Schöpfung
- (who)
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Buchardt, Kristian
Møller, Thomas
- Event
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Veröffentlichung
- (who)
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MDPI
- (where)
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Basel
- (when)
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2018
- DOI
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doi:10.3390/risks6030068
- Handle
- Last update
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10.03.2025, 11:41 AM CET
Data provider
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Artikel
Associated
- Buchardt, Kristian
- Møller, Thomas
- MDPI
Time of origin
- 2018
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Expenses for machinery,equipment and buildings
Changing Horses and Hedging
Production flexibility and hedging
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Cash transfers for pro-poor carbon taxes in Latin America and the Caribbean
Cash-flow Sensitivities of Interdependent Corporate Decisions – The Role of Financial Constraints and Hedging Needs
Mobility and reliefs for traveling expenses to work
Day-to-Day Living Expenses and Mental Health
Unilateral Tax Reform: Border Adjusted Taxes, Cash Flow Taxes, and Transfer Pricing
Expenses of officers and attendants
Hedging and Ambiguity
Hedging and Ambiguity
Expenses for machinery,equipment and buildings
Changing Horses and Hedging
Production flexibility and hedging
Expenses.
Cash transfers for pro-poor carbon taxes in Latin America and the Caribbean
Cash-flow Sensitivities of Interdependent Corporate Decisions – The Role of Financial Constraints and Hedging Needs
Mobility and reliefs for traveling expenses to work