Tid: 19 mars 2007 kl 15.15-17.00
Plats : Seminarierummet 3733, Institutionen för matematik, KTH, Lindstedts väg 25, plan 7. Karta!
Föredragshållare: Fredrik Armerin
Titel: An alternative approach to the valuation of cash flows.
Sammanfattning: In some cases of cash flow valuation, the standard approach of using no-arbitrage arguments is not a good modelling framework. In this talk I will discuss what problems may occur, and present an alternative approach. Instead of focusing on the financial market and its traded asset, the main object of study is the cash flows. The cash flows are modelled as quite general stochastic processes, and by applying a representation theorem from the general theory of processes we are able to study the behaviour of valuation principles, as well as properties of the stochastic discount factor they imply.
The valuation model presented is especially useful when there is no underlying financial market, as is often the case when valuing cash flows arising from insurance contracts and in the application of real options. As an example of this approach, the valuation of the liabilities of an insurance company is considered. I will compare the results of the model with the concepts of fair value and market consistent valuation.