European embedded value

The European embedded value (EEV) is an effort by the CFO Forum to standardize the calculation of the embedded value. For this purpose the CFO Forum has released guidelines how embedded value should be calculated.

There is a lot of subjectivity involved in calculating the value of a life insurer. Insurance contracts are long-term contracts, so the value of the company now is dependent on how each of those contracts end up performing. Profit is made if the policyholder does not die, for example, and just contributes premiums over many years. Losses are possible for policies where the insured dies soon after signing the contract. And profitability is also affected by whether (and when) a policy might terminate early.

An actuary calculates an embedded value by making certain assumptions about life expectancy, persistency, investment conditions, and so on - thus making an estimate of what the company is worth now. But if each person has a different opinion on how things will turn out, you could expect a range of inconsistent estimates of the worth of the company. With this range of approaches, it is very difficult to compare EV calculations between companies.

The CFO Forum was formed to consider general issues relevant to measuring the value of insurance companies. The EEV was the output of this forum, and allows greater consistency in the such calculations, making them more useful.

Types

EEV can be "real world" or "market consistent". The former takes the best estimate for parameters that are available, whereas the latter uses a slightly constrained set of parameters which are close to best estimate, but which produce results which match market-related hedge costs.

リアルワールドEEVでは通常、リスクフリーレートに、加重平均資本コストとCAPMモデルのベータを反映したリスクマージンを加えたリスク割引率が用いられます。企業レベルの経済モデルを用いることは、リスク割引率の決定におけるトップダウンアプローチを明確に反映しています。

市場整合的 EEV では、リスク割引率を決定するためにボトムアップアプローチが使用され、リスクフリーレートにオペレーショナルリスクと市場リスクの明示的な控除を加えた数値が生成されます。

当初はこれら 2 種類の EEV が同等に使用されていましたが、時間が経つにつれて、企業は市場整合的なアプローチへと移行しているようです。

参考文献

一般的な