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Implicit Embedded Options in Life Insurance Contracts
96,29 €*
ISBN-13:
9783790828436
Veröffentl:
2012
Seiten:
170
Autor:
Nils Rüfenacht
Serie:
Contributions to Management Science
eBook Typ:
PDF
eBook Format:
EPUB
Kopierschutz:
1 - PDF Watermark
Sprache:
Englisch
Beschreibung:
This book presents a market-consistent valuation framework for implicit embedded options in life insurance contracts. This framework is used to perform an empirical analysis based on more than 110,000 actual and in-force life insurance policies and with a focus on the modeling of interest rates. Its results are the answer to the central question posed in the objectives: What value do the embedded options and guarantees considered have?This question is answered both absolutely and relative to the current policy reserves, from the perspective of the insurer, the policyholder and the shareholder respectively
Theoretical Considerations Regarding Embedded Options.- Asset Modelling Process.- Liability Modelling Process.- An Empirical Analysis Using the Entire Modelling Approach.