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Bewertung impliziter Optionen in Lebensversicherungsprodukten aus finanzmarkttheoretischer Sicht
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ISBN10: 383865000X
ISBN13: 9783838650005
Publisher: Diplom.de
Published: Feb 8 2002
Pages: 244
Weight: 0.71
Height: 0.55 Width: 5.83 Depth: 8.27
Language: German
ISBN13: 9783838650005
Publisher: Diplom.de
Published: Feb 8 2002
Pages: 244
Weight: 0.71
Height: 0.55 Width: 5.83 Depth: 8.27
Language: German
Inhaltsangabe: Gang der Untersuchung: Zum Verständnis dieser Diplomarbeit müssen gewisse grundlegende Begriffe der Optionstheorie und der Versicherungsmathematik vorausgesetzt werden. Au erdem sind Grundlagen zur Tarifkalkulation in der Lebensversicherung notwendig. Für den Einsteiger in die Materie oder aber zum Auffrischen der Kenntnisse sind in Anhang A bzw. B kurze Einführungskapitel in die zwei Themengebiete dargestellt. Eine Einführung in die Thematik der Bewertung impliziter Optionen liefert Kapitel 2. Es wird erläutert, um welche Art von Optionen es sich hierbei handelt. Au erdem werden die Gründe näher beleuchtet, weshalb es notwendig ist, eine Bewertung durchzuführen. In Kapitel 3 wird das Binomialmodell für Marktzinsen hergeleitet. Es handelt sich um ein Zinsstrukturmodell, welches auf Fabozzi, Kalotay und Williams zurückgeht und sich eignet, Finanzoptionen zu bewerten. Es basiert auf den derzeitigen Kapitalmarktzinsen. Dieses Modell wird die Grundlage der folgenden Untersuchungen sein. Die Analysen der Optionen beginnen ab dem vierten Kapitel. Das hergeleitete Binomialmodell für Marktzinsen wird dabei auf die Bewertung von Versicherungsoptionen übertragen. Zunächst werden Standard-Optionen - das sind Optionen, die aufgrund von gesetzlichen Vorschriften in Lebensversicherungsprodukten eingebunden sein müssen - behandelt. Zu den Standard-Optionen gehören insbesondere die Rechte des Kunden, seine Lebensversicherung zu kündigen oder beitragsfrei zu stellen. Bei der Bewertung wird vor allem darauf Wert gelegt, das Sterblichkeitsrisiko, welches in kapitalbildenden Lebensversicherungen (KLV) enthalten ist, geeignet herauszurechnen, um einen sinnvollen Vergleich mit Alternativprodukten durchführen zu können. Anschlie end wird zu speziellen Optionen übergegangen. „Speziell soll in diesem Zusammenhang ausdrücken, da diese Optionen individuell von den einzelnen Ver-sicherungsunternehmen (VU) entwickelt wurden. Daher können die Optionen je nach VU unterschie
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