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Valuation and Hedging in Insurance

Valuation and Hedging in Insurance

Paperback

Business General

ISBN10: 3639123190
ISBN13: 9783639123197
Publisher: Blues Kids Of Amer
Published: Apr 3 2009
Pages: 168
Weight: 0.56
Height: 0.39 Width: 6.00 Depth: 9.00
Language: English
This book consists of three parts. In the first part, the author focus on the surrender option embedded in life insurance contracts. He describes the reduced-form approach for the modelling of the time of surrender and the valuation of insurance contracts embedding such option. He also studies in great details the hedging strategies allowing to mitigate the risk of such surrender options. In the second part, the author introduces the systematic mortality risk. He studies the valuation and hedging of life insurance contracts in such context as well as the pricing of longevity bonds. Finally, in the third part, the author examines the hedging of non life insurance contracts.

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