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Contributions to Management Science

Implicit Embedded Options in Life Insurance Contracts

A Market Consistent Valuation Framework

Authors: Rüfenacht, Nils

  • 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
  •  
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eBook $109.00
price for USA (gross)
  • ISBN 978-3-7908-2843-6
  • Digitally watermarked, DRM-free
  • Included format: PDF, EPUB
  • ebooks can be used on all reading devices
  • Immediate eBook download after purchase
Hardcover $149.00
price for USA
  • ISBN 978-3-7908-2842-9
  • Free shipping for individuals worldwide
  • Usually dispatched within 3 to 5 business days.
Softcover $149.00
price for USA
  • ISBN 978-3-7908-2943-3
  • Free shipping for individuals worldwide
  • Usually dispatched within 3 to 5 business days.
About this book

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

About the authors

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

Table of contents (6 chapters)

  • Introduction

    Rüfenacht, Nils

    Pages 1-15

  • Theoretical Considerations Regarding Embedded Options

    Rüfenacht, Nils

    Pages 17-40

  • Asset Modelling Process

    Rüfenacht, Nils

    Pages 41-82

  • Liability Modelling Process

    Rüfenacht, Nils

    Pages 83-101

  • An Empirical Analysis Using the Entire Modelling Approach

    Rüfenacht, Nils

    Pages 103-143

Buy this book

eBook $109.00
price for USA (gross)
  • ISBN 978-3-7908-2843-6
  • Digitally watermarked, DRM-free
  • Included format: PDF, EPUB
  • ebooks can be used on all reading devices
  • Immediate eBook download after purchase
Hardcover $149.00
price for USA
  • ISBN 978-3-7908-2842-9
  • Free shipping for individuals worldwide
  • Usually dispatched within 3 to 5 business days.
Softcover $149.00
price for USA
  • ISBN 978-3-7908-2943-3
  • Free shipping for individuals worldwide
  • Usually dispatched within 3 to 5 business days.
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Bibliographic Information

Bibliographic Information
Book Title
Implicit Embedded Options in Life Insurance Contracts
Book Subtitle
A Market Consistent Valuation Framework
Authors
Series Title
Contributions to Management Science
Copyright
2012
Publisher
Physica-Verlag Heidelberg
Copyright Holder
Springer-Verlag Berlin Heidelberg
eBook ISBN
978-3-7908-2843-6
DOI
10.1007/978-3-7908-2843-6
Hardcover ISBN
978-3-7908-2842-9
Softcover ISBN
978-3-7908-2943-3
Series ISSN
1431-1941
Edition Number
1
Number of Pages
XXVI, 170
Topics