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Old 01-01-2018, 09:25 AM
Tsin Tsin is offline
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Default Market-Consistent valuation

How does it look in practice? Where can I read more about it?

bonus question: how advanced programming knowledge (mostly C++) is required by EL modelling actuary?
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Old 01-01-2018, 01:01 PM
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There's a study note in the ILA LFV syllabus that talks about MCEV. You may be able to download it from the CIA website.
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Old 01-01-2018, 08:54 PM
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Quote:
Originally Posted by Tsin View Post
bonus question: how advanced programming knowledge (mostly C++) is required by EL modelling actuary?
None. Can you run excel? :P

-Riley
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Old 01-04-2018, 02:33 PM
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Here is a good beginner's article on market-consistent valuation. If after you read this, you have more specific questions, I am happy to help.

http://www.solvencyiiwire.com/an-act...sistency/64053
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