Liquidity Premiums and contingent liabilities
Document ID: 2010-1856
Published on: 14th June 2010
Author: Craig Turnbull
Liquidity premium has recently emerged from relative obscurity to become a major issue in financial reporting (MCEV) and regulatory assessment(Solvency II) in European insurance. This note explores the three-stage process of incorporating an allowance for liquidity premiums into the market-consistent valuation of insurance liabilities.
