Valuation and hedging of long-dated liabilities

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.

This seminar will deal with the problems of valuation and hedging long term interest rate liabilities.

Professor Peter Schotman, Maastricht university, will introduce a discussion on how to value and hedge long-dated liabilities.

Panel discussion:
• Maria Käki, Risk analyst, Independent Risk Control at SPP
• Lars-Göran Orrevall, Head of Capital Management at Skandia.

Pehr Wissén, Swedish House of Finance, will moderate the event.

About Peter Schotman
Peter Schotman is a Full Professor of Empirical Finance at Maastricht University School of Business and Economics.
Schotman’s research focus is currently on long-term investments in relation to retirement provision.
He is interested in pension funds as well as in individual households.
Additionally, Schotman maintains a strong relationship with the ABP pension fund, carries out joint research with this organisation, and supervises people within the ABP who are doing their PhD research.