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

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...

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Bibliographic Details
Main Author: Rüfenacht, Nils
Format: eBook
Language:English
Published: Heidelberg Physica 2012, 2012
Edition:1st ed. 2012
Series:Contributions to Management Science
Subjects:
Online Access:
Collection: Springer eBooks 2005- - Collection details see MPG.ReNa
Description
Summary: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
Physical Description:XXVI, 170 p online resource
ISBN:9783790828436