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Implicit Embedded Options in Life Insurance Contracts

A Market Consistent Valuation Framework

  • Book
  • © 2012

Overview

Authors:
  1. Nils Rüfenacht

    1. Basel, Switzerland

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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
  • Includes supplementary material: sn.pub/extras

Part of the book series: Contributions to Management Science (MANAGEMENT SC.)

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Table of contents (6 chapters)

  1. Front Matter

    Pages i-xxv
    Download chapter PDF

  2. Introduction

    • Nils Rüfenacht
    Pages 1-15

  3. Theoretical Considerations Regarding Embedded Options

    • Nils Rüfenacht
    Pages 17-40

  4. Asset Modelling Process

    • Nils Rüfenacht
    Pages 41-82

  5. Liability Modelling Process

    • Nils Rüfenacht
    Pages 83-101

  6. An Empirical Analysis Using the Entire Modelling Approach

    • Nils Rüfenacht
    Pages 103-143

  7. Conclusion

    • Nils Rüfenacht
    Pages 145-149

  8. Back Matter

    Pages 151-167
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Keywords

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

Authors and Affiliations

  • Basel, Switzerland

    Nils Rüfenacht

About the author

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

Bibliographic Information

  • Book Title: Implicit Embedded Options in Life Insurance Contracts

  • Book Subtitle: A Market Consistent Valuation Framework

  • Authors: Nils Rüfenacht

  • Series Title: Contributions to Management Science

  • DOI: https://doi.org/10.1007/978-3-7908-2843-6

  • Publisher: Physica Heidelberg

  • eBook Packages: Business and Economics, Economics and Finance (R0)

  • Copyright Information: Springer-Verlag Berlin Heidelberg 2012

  • Hardcover ISBN: 978-3-7908-2842-9Published: 04 May 2012

  • Softcover ISBN: 978-3-7908-2943-3Published: 09 May 2014

  • eBook ISBN: 978-3-7908-2843-6Published: 03 April 2012

  • Series ISSN: 1431-1941

  • Series E-ISSN: 2197-716X

  • Edition Number: 1

  • Number of Pages: XXVI, 170

  • Topics: Insurance, Quantitative Finance, Finance, general

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