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Implicit Embedded Options in Life Insurance Contracts: A Market Consistent Valuation Framework

Implicit Embedded Options in Life Insurance Contracts: A Market Consistent Valuation Framework

Paperback

Series: Contributions to Management Science

Business GeneralInvesting & FinanceGeneral Mathematics

ISBN10: 3790829439
ISBN13: 9783790829433
Publisher: Physica-Verlag
Published: May 9 2014
Pages: 170
Weight: 0.62
Height: 0.42 Width: 6.14 Depth: 9.21
Language: English
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

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Rüfenacht, Nils

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Business General