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Implicit Embedded Options in Life Insurance Contracts

  • Fester Einband
  • 167 Seiten
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This book presents a market-consistent valuation framework for implicit embedded options in life insurance contracts. This framewo... Weiterlesen
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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

Embedded options in life insurance contracts

Extendable market consistent valuation framework

Empirical analysis based on more than 110.000 in-force life insurance policies

Contains numerous supportive illustrations



Inhalt
Theoretical Considerations Regarding Embedded Options.- Asset Modelling Process.- Liability Modelling Process.- An Empirical Analysis Using the Entire Modelling Approach.

Produktinformationen

Titel: Implicit Embedded Options in Life Insurance Contracts
Untertitel: A Market Consistent Valuation Framework
Autor:
EAN: 9783790828429
ISBN: 3790828424
Format: Fester Einband
Herausgeber: Physica Verlag
Anzahl Seiten: 167
Gewicht: 465g
Größe: H241mm x B160mm x T15mm
Jahr: 2012
Untertitel: Englisch
Auflage: 2012

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