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A methodology for estimating rating/ region/ sector proxies for ACVA calculations can be found here: http://www.nomura.com/resources/europe/pdfs/cva-cross-section.pdf Please let me know if you need anything to be clarified (caveat: I am one of the authors). The methodology assigns a CDS mark to counterparties that either have no CDS marks, or their marks are ...


Option pricing theory and interest rate theory are used within life insurance mathematics. See for example the articles of Thomas Møller: Local risk-minimization with survivor bonds (with L. Henriksen). To appear in Applied Stochastic Models in Business and Industry, 2014. On systematic mortality risk and risk-minimization with survivor swaps (with M. Dahl ...


The classical connection is the http://en.m.wikipedia.org/wiki/Esscher_transform developed for actuaries in 1932 which essentially transforms the objective probability measure into the risk neutral one used in quant finance.


Actuarial science traditionally focuses on estimation of joint probabilities using real data where math finance is on valuation of contracts under an arbitrary distribution. It means the first one deals with methods of estimation of future distributions (the number of accidents of a given kind, the probability of someone with a given profile to have a ...

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