On the modelling of nested risk-neutral stochastic processes with applications in insurance

We propose a modelling framework for risk-neutral stochastic processes nested in a real-world stochastic process. The framework is important for insurers that deal with the valuation of embedded options and in particular at future points in time. We make use of the class of State Space Hidden Markov models for modelling the joint behaviour of the parameters of a risk-neutral model and the dynamics of option market instruments. This modelling concept enables us to perform non-linear estimation, forecasting and robust calibration. The proposed method is applied to the Heston model for which we find highly satisfactory results. We use the estimated Heston model to compute the required capital of an insurance company under Solvency II and we find large differences compared to a basic calibration method

Fair processes for priority setting: Putting theory into practice: Comment on “expanded HTA: Enhancing fairness and legitimacy”

Embedding health technology assessment (HTA) in a fair process has great potential to capture societal values relevant to public reimbursement decisions on health technologies. However, the development of such processes for priority setting has largely been theoretical. In this paper, we provide further practical lead ways on how these processes can be implemented. We first present the misconception about the relation between facts and values that is since long misleading the conduct of HTA and underlies the current assessment-appraisal split. We then argue that HTA should instead be explicitly organized as an ongoing evidence-informed deliberative process, that facilitates learning among stakeholders. This has important consequences for whose values to consider, how to deal with vested interests, how to consider all values in the decision-making process, and how to communicate decisions. This is in stark contrast to how HTA processes are implemented now. It is time to set the stage for HTA as learning

Sustainability in Growth Models

We study the relation between sustainability and national income in a neoclassical growth model with one product, which is used both as consumption good and investment good, and one natural resource, which is used in production. We analyse the possibilities for an indicator of sustainability, looking in particular at two indicators: the change in real national wealth and the ratio between sustainable constant consumption and actual consumption. It appears that both indicators can only be computed if the sustainable path of the economy is first computed, ànd that they must be computed for the whole future path of the economy, so that it is not sufficient to compute them for a single time period. For official statistics this means that sustainability indicators can only be computed by means of an economic model, and cannot be measured with actual data only

Sustainability in Growth Models

We study the relation between sustainability and national income in a neoclassical growth model with one product, which is used both as consumption good and investment good, and one natural resource, which is used in production. We analyse the possibilities for an indicator of sustainability, looking in particular at two indicators: the change in real national wealth and the ratio between sustainable constant consumption and actual consumption. It appears that both indicators can only be computed if the sustainable path of the economy is first computed, ànd that they must be computed for the whole future path of the economy, so that it is not sufficient to compute them for a single time period. For official statistics this means that sustainability indicators can only be computed by means of an economic model, and cannot be measured with actual data only

Fair Processes for Priority Setting: Putting Theory into Practice Comment on “Expanded HTA: Enhancing Fairness and Legitimacy”

Embedding health technology assessment (HTA) in a fair process has great potential to capture societal values relevant to public reimbursement decisions on health technologies. However, the development of such processes for priority setting has largely been theoretical. In this paper, we provide further practical lead ways on how these processes can be implemented. We first present the misconception about the relation between facts and values that is since long misleading the conduct of HTA and underlies the current assessmentappraisal split. We then argue that HTA should instead be explicitly organized as an ongoing evidenceinformed deliberative process, that facilitates learning among stakeholders. This has important consequences for whose values to consider, how to deal with vested interests, how to consider all values in the decisionmaking process, and how to communicate decisions. This is in stark contrast to how HTA processes are implemented now. It is time to set the stage for HTA as learnin