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New & Forthcoming Titles | Implicit Embedded Options in Life Insurance Contracts - A Market Consistent Valuation Framework

Implicit Embedded Options in Life Insurance Contracts

A Market Consistent Valuation Framework

Rüfenacht, Nils

2012, XXVI, 170 p.

A product of Physica Verlag Heidelberg
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  • 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
  •  
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

Content Level » Research

Keywords » Embedded Options in Life Insurances - Market Consistent Valuation - Stochastic Asset-Modulation

Related subjects » Finance & Banking - Quantitative Finance

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