Valuation and hedging of long-dated liabilities
Professor Peter Schotman, Maastricht university
Insurance companies sometimes are obliged to pay out cash 30 or 40 years into the future. They naturally want to hedge such promises. There is not always much of a market for such assets and various assumptions and difficult decisions have to be made in order to manage the risks.
At this seminar they dealt with the problems of valuation and hedging long term interest rate liabilities.
Professor Peter Schotman, Maastricht university, introduced a discussion on how to value and hedge long-dated liabilities.